Trading Equity and Index Derivatives SELF-CERTIFICATION TRADE EXECUTION

Transcription

1 Trading Interest Rate Derivatives Trading Equity and Index Derivatives Back-office Futures Back-office - Options Technology Regulation CIRCULAR December 29, 2017 SELF-CERTIFICATION TRADE EXECUTION AMENDMENTS TO ARTICLES 5201, 6004, 6005, 6007, 6310, 6375, 6379, 6380, 6381, 6383, 6384, 6385, 6388, 6393, 6393A, , 6671, 6815, 6815A AND 6816 OF THE RULES OF BOURSE DE MONTRÉAL INC. AMENDMENTS TO THE PROCEDURES APPLICABLE TO THE EXECUTION OF CROSS TRANSACTIONS AND THE EXECUTION OF PREARRANGED TRANSACTIONS, THE PROCEDURES APPLICABLE TO THE EXECUTION OF BLOCK TRADES, THE PROCEDURES APPLICABLE TO THE EXECUTION OF RISKLESS BASIS CROSS TRANSACTIONS ON FUTURES CONTRACTS ON S&P/TSX INDICES AND ON SHARE FUTURES, THE PROCEDURES FOR THE CANCELLATION OR ADJUSTMENT OF TRADES, AND THE PROCEDURES FOR THE EXECUTION AND REPORTING OF EXCHANGE FOR PHYSICAL (EFP), EXCHANGE FOR RISK (EFR) AND SUBSTITUTION OF OTC DERIVATIVE INSTRUMENTS FOR FUTURES CONTRACTS TRANSACTIONS The Rules and Policies Committee of Bourse de Montréal Inc. (the Bourse ) has approved amendments to (i) articles 5201, 6004, 6005, 6007, 6310, 6375, 6379, 6380, 6381, 6383, 6384, 6385, 6388, 6393, 6393A, , 6671, 6815, 6815A, 6816 of the Rules of the Bourse, (ii) the Procedures applicable to the execution of cross transactions and the execution of prearranged transactions, (iii) the Procedures applicable to the execution of block trades, (iv) the Procedures applicable to the execution of riskless basis cross transactions on futures contracts on S&P/TSX indices and on share futures, (v) the Procedures for the cancellation or adjustment of trades, and (vi) the Procedures for the execution and reporting of exchange for physical (EFP), exchange for risk (EFR) and substitution of OTC derivative instruments for futures contracts transactions, and the Special Committee of the Regulatory Division of the Bourse has approved amendments to articles 5201 and 6310 in order to clarify the Rules, simplify the Rules by incorporating the aforementioned Procedures into the Rules, align the Rules with current Bourse practices and provide greater legal certainty to market participants as to various permitted and prohibited practices. The attached amendments were self-certified in accordance with the self-certification process as defined in the Derivatives Act (CQLR, Chapter I-14.01). They will come into effect and be Tour de la Bourse P.O. Box 61, 800 Victoria Square, Montréal, Québec H4Z 1A9 Telephone: Toll-free within Canada and the U.S.A.: Website:

2 Circular no.: Page 2 incorporated into the version of the Rules of the Bourse on the Bourse s website ( on January 17, 2018, after market close. The rule changes described in the present circular were published for public comment by the Bourse on March 23, 2016 (See Circular ). Further to the publication of this circular, the Bourse has received comments. A summary of the comments received as well as the responses from the Bourse to these comments is attached hereto. Please note that all changes and amendments made to the Rules and Procedures of the Bourse that have been self-certified and that are effective since March 23, 2016 have been taken into consideration in the final version of the Rules that will come into effect on January 17, 2018, after market close. For additional information, please contact Martin Jannelle, Legal Counsel, at or by at martin.jannelle@tmx.com Martin Jannelle Legal Counsel Tour de la Bourse P.O. Box 61, 800 Victoria Square, Montréal, Quebec H4Z 1A9 Telephone: Toll-free within Canada and the U.S.A.: Website:

3 5201 Arbitration of Disputes ( , , , ) Any dispute arising between approved participants regarding an exchange contractapproved Participants regarding a Listed Product traded on or subject to the rules of the Bourse, including the adjustment or cancellation of transactions, must be submitted to the majority decision of three arbitrators appointed as hereinafter provided Arbitration of Disputes ( , , , ) Any dispute arising between Approved Participants regarding a Listed Product traded on or subject to the rules of the Bourse, including the adjustment or cancellation of transactions, must be submitted to the majority decision of three arbitrators appointed as hereinafter provided.

4 6004 Trading Restricted to Exchangethe Bourse ( , , , ) Subject to the exceptions set out in article 6005,6380 and 6816, all purchases and sales of Exchange listings Listed Products made by members, permit holders andapproved Participants, an affiliated corporationscorporation or a Person must take place on the ExchangeBourse during a trading session thereof Trading Restricted to the Bourse ( , , , ) Subject to the exceptions set out in article 6380 and 6816, all purchases and sales of Listed Products made by Approved Participants, an affiliated corporation or a Person must take place on the Bourse during a trading session thereof.

5 6005 Off-Exchange Transactions ( , , , , , , , , abr ) The only transactions in any securities or derivative instruments listed on the Bourse which an approved participant may make off the Bourse are the following: a) a transaction made to adjust an execution error on a client's order; b) a transaction made as a result of the exercise of an option or of a delivery pursuant to a futures contract; c) an Exchange for Physicals (EFP) transaction or an Exchange for Risk (EFR) transaction pursuant to article 6815 or a Substitution of over-the-counter derivative instruments for futures contracts pursuant to article 6815A; d) an off-exchange transfer of securities or derivative instruments pursuant to article 6816; e) a block trade in a security or derivative instrument designated by the Bourse and executed according to the provisions of article 6380; f) a riskless basis cross transaction in a security or derivative instrument designated by the Bourse and executed according to provisions of article g) an over-the-counter trade in any put or call option, provided that such option: i) does not relate to underlying securities which are the object of options issued by the Canadian Derivatives Clearing Corporation; or ii) does relate to underlying securities which are the object of options issued by the Canadian Derivatives Clearing Corporation, but whose terms are materially different from those of any series of options issued by the Canadian Derivatives Clearing Corporation. For the purposes of this paragraph g), writing over-the-counter options means the distribution of securities for which a prospectus may be required or for which specific or blanket exemptions may be necessary under the applicable securities legislation. The writer of over-the-counter options may, in effect, be an issuer distributing securities and so must, accordingly, ensure that such distribution complies with applicable securities legislation.

6 6005 Off-Exchange Transactions ( , , , , , , , , abr )

7 6007 Trading Delays and HaltsInterruptions ( , , , ) a) An official of the ExchangeIn order to assist in the orderly opening or re-opening of a Listed Product, a Market Supervisor of the Bourse has the authority to take such decisions as may be required to delay the opening in any listed security or to interrupt trading in any such securitylisted Product for any period of less than two hours, to assist in the orderly opening or re-opening of such security.b) An official of the Exchange has the authority to extend a delayed opening or a halt of trading for any period of time Such two hour period can be extended at the Market Supervisor s discretion in order to assist in re-establishing orderly trading. c) An officialb)a Market Supervisor of the Exchange may halt trading in a listed security andbourse may determine the conditions and time of resumption ofat which trading in any Listed Product will resume. d) An officialc)a Market Supervisor of the ExchangeBourse has the authority to take such decisions as may be required to cancel or modify any given intra-session auction period.

8 6007 Trading Delays and Interruptions ( , , , ) a) In order to assist in the orderly opening or re-opening of a Listed Product, a Market Supervisor of the Bourse has the authority to delay the opening or to interrupt trading in any Listed Product for any period of less than two hours. Such two hour period can be extended at the Market Supervisor s discretion in order to assist in re-establishing orderly trading. b) A Market Supervisor of the Bourse may determine the conditions and time at which trading in any Listed Product will resume. c) A Market Supervisor of the Bourse has the authority to take such decisions as may be required to cancel or modify any given intra-session auction period.

9 6310 Best Price Execution ( , , , , ) a) When receiving an order from a client, a Member, an Approved Person or an employee of a Member must use Approved Participants shall take reasonable care consistent with just and equitable principles of trade, high standards of professional conduct and integrity to obtain for his client the best price and diligently pursue the execution of each client order on the most advantageous execution terms reasonably available under all of the circumstances relating to the trade or trading strategy and the then current market conditions. b) In order to meet such an obligation, a member has a duty to make reasonable effort to avail itself of existing facilities providing information or ability to execute orders. To assess the most advantageous execution terms reasonably available, Approved Participants should consider general factors including, but not limited to: trading strategy, trade price, speed of execution, certainty of execution, and overall cost of execution. In the case of strategy or spread trades, Approved Participants shall consider these factors as they relate to the execution of the overall strategy, rather than the execution of each individual leg.

10 6310 Best Execution ( , , , , ) a) Approved Participants shall take reasonable care consistent with just and equitable principles of trade and diligently pursue the execution of each client order on the most advantageous execution terms reasonably available under all of the circumstances relating to the trade or trading strategy and the then current market conditions. b) To assess the most advantageous execution terms reasonably available, Approved Participants should consider general factors including, but not limited to: trading strategy, trade price, speed of execution, certainty of execution, and overall cost of execution. In the case of strategy or spread trades, Approved Participants shall consider these factors as they relate to the execution of the overall strategy, rather than the execution of each individual leg.

11 6375 Allocation of tradeable orders ( , , , , , ) a) Pre-opening, Pre-closing and Intra-session Auctions During the pre-opening stage and the pre-closing stage of the trading day, and during the pre-auction stage of an intra-session auction period, orders are entered but no trades are generated until the end of the stage. The electronic trading system will calculate the opening price, the closing price or the auction price, as the case may be, using the Calculated Theoretical-Opening price methodology (CTO). The CTO price represents the overlapping bid/ask price range that results in the maximum possible trade volume. When there is more than one possible CTO at which the maximum volume is reached, the price with the lowest residual is used. Furthermore under the following conditions: - if there is an imbalance on the buy side, the highest price is taken; - if there is an imbalance on the sell side, the lowest price is taken; and - where the residuals are the same, the price which is closest to the previous settlement is taken. Stop limit orders do not enter into the CTO calculation. b) Market Session (Continuous Trading) The electronic trading system allocates the tradeable orders first on a price basis, and then on a first in, first out basis (FIFO) except when part of the allocation is subject to an execution guarantee as defined by the Bourse. Stop limit orders in the electronic trading system shall be presented to the market as soon as their triggering limit is reached.

12 6375 Allocation of tradeable orders ( , , , , , ) a) Pre-opening / Pre-closing During the pre-opening stage and the pre-closing stage of the trading day, and during the pre-auction stage of an intra-session auction period, orders are entered but no trades are generated until the end of the stage. The electronic trading system will calculate the opening price, the closing price or the auction price, as the case may be, using the Calculated Theoretical-Opening price methodology (CTO). The CTO price represents the overlapping bid/ask price range that results in the maximum possible trade volume. When there is more than one possible CTO at which the maximum volume is reached, the price with the lowest residual is used. Furthermore under the following conditions: - if there is an imbalance on the buy side, the highest price is taken; - if there is an imbalance on the sell side, the lowest price is taken; and - where the residuals are the same, the price which is closest to the previous settlement is taken. Stop limit orders do not enter into the CTO calculation. b) Market Session (Continuous Trading) The electronic trading system allocates the tradeable orders first on a price basis, and then on a first in, first out basis (FIFO) except when part of the allocation is subject to an execution guarantee as defined by the Bourse. Stop limit orders in the electronic trading system shall be presented to the market as soon as their triggering limit is reached.

13 6379 Input of Orders ( , , , , ) a) Except as provided in paragraph b) of article 6375, the market orders and limit orders are entered into the trading system and presented to the market without delay in accordance with the chronology of their receipt. The other orders are presented to the market as soon as their time limit or triggering limit is reached.an Approved Participant shall not withhold or withdraw from the market any order, or any part of an order, for the benefit of any person other than the Person placing the order. b) Any order which is entered into the trading system must indicate if the order is for the account of a firm, of a client or of a professional, as these terms are defined in article In addition, if the order is for the account of an insider or of a significant shareholder, as these terms are defined in article 6376, it must be identified as such. When these conditions are fulfilledmet, the input in the system triggers the recording of the order. Should the final receiver fail to be identified directly in the system, a time-stamped recording in accordance with article 6377 of the Rules must be completed. automatically records the order. If a chronological ranking of receipt cannot be established between many orders, the client priority rules of article 6374 of the Rules apply.

14 6379 Input of Orders ( , , , , ) a) An Approved Participant shall not withhold or withdraw from the market any order, or any part of an order, for the benefit of any person other than the Person placing the order. b) Any order which is entered into the trading system must indicate if the order is for the account of a firm, of a client or of a professional, as these terms are defined in article In addition, if the order is for the account of an insider or of a significant shareholder, as these terms are defined in article 6376, it must be identified as such. When these conditions are met, the system automatically records the order. If a chronological ranking of receipt cannot be established between many orders, the client priority rules of article 6374 of the Rules apply.

15 6380 Prenegotiation Discussions, Cross Transactions, Prearranged Transactions, Block Trades, Riskless Basis Cross Transactions and Block Trades Priced at a Basis to the Index Close Transactions Required on Bourse Facilities ( , , , , , , , , , )) All trading in Listed Products must occur on or through the electronic trading system or in accordance with the rules of the Bourse. 6380a. Prearranged Transactions Prohibited. No Person shall prearrange or execute noncompetitively any transaction on or through the electronic trading system of the Bourse, except as permitted by, and in accordance with article 6380b. 6380b. Exceptions to Prohibition on Prearranged Transactions. The prohibition in article 6380a shall not apply to prearranged transactions pursuant to article 6380c; Block Trades pursuant to article 6380d; Riskless Basis Cross Trades pursuant to article 6380e; Exchange For Related Positions pursuant to articles 6815; and transfers of open positions under article 6816; provided however, no transaction under any of the exceptions included in this article may be executed using a hidden volume functionality. 6380c. Prearranged transactions. 1) In general. For the purpose of this article, the terms hereunder are defined as follows: communication means any communication for the purpose of discerning interest in the execution of a transaction prior to the exposure of the order to the market. Any communication that relates to the size, side of market or price of an order, or a potentially forthcoming order, constitutes a communication to prearrange a transaction. 1) Prenegotiation Discussions Prenegotiation discussions are considered having occurred when approved participants engage in negotiations with each other or with other approved participants and/or clients prior to entering orders which may result in a cross transaction, a prearranged transaction, a block trade, an exchange-forphysical or exchange-for-risk transaction (according to the provisions of article 6815 of this Rule), a substitution transaction (according to the provisions of article 6815A of this Rule) or a riskless basis cross transaction. Clients must consent to allow approved participants to engage in prenegotiation discussions with other approved participants and/or clients with respect to an order. 2) Cross Transactions A cross transaction is considered having occurred when two orders of opposite sides originating from the same approved participant are intentionally executed against each other in whole or in part as a result of prenegotiation discussions. 3) Prearranged Transactions

16 A prearranged transaction is considered having occurred when one or more approved participants engage in prenegotiation discussions in order to agree on the terms of a transaction before entering the orders in the electronic trading system of the Bourse. Execution of cross transactions and prearranged transactions are permitted by the Bourse when: The parties to a transaction may engage in communications to prearrange a transaction on the electronic trading system in an eligible derivative in the minimum amount specified where one party wishes to be assured that there will be a counterparty willing to take the opposite side of the transaction, in accordance with the following conditions: i) they are on eligible securities or derivative instruments;a customer must consent to the Approved Participant engaging in prearranging communications on the customer s behalf. The consent of the client, in whatever form, must be communicated to the Bourse upon request; ii) the orders are for a volume equal to or greater than the minimum volume threshold established for that eligible security or derivative instrument; After the first order for the prearranged transaction is entered into the electronic trading system the parties may not enter the second order for the prearranged transaction until the following specified time period has elapsed as follows: iii) the prescribed time delay between the input of an order and its opposite side order is respected; ELIGIBLE DERIVATIVES PRESCRIBED TIME PERIOD MINIMUM VOLUME THRESHOLD Three-Month Canadian Bankers Acceptance F utures Contracts (B AX): 1st four quarterly months not including 5 seconds No threshold Remaining expiry months and strategies 15 seconds No threshold Thirty-Day Overnight Repo Rate F utures Contracts (ONX): Front month 5 seconds No threshold Remaining expiry months and strategies 15 seconds No threshold Overnight Index Swap Futures Contracts (OIS): Front month 5 seconds No threshold Remaining expiry months and strategies 15 seconds No threshold Government of Canada Bond Futures All expiry months and strategies 5 seconds No threshold Futures Contracts on S&P/TSX All expiry months 0 second 100 contracts All expiry months and strategies 5 seconds < 100 contracts

17 ELIGIBLE DERIVATIVES PRESCRIBED TIME PERIOD MINIMUM VOLUME THRESHOLD Futures Contracts on the FTSE Emerging Markets Index: All expiry months 0 second 100 contracts All expiry months and strategies 5 seconds < 100 contracts Futures Contracts on Canada Carbon Dioxide Equivalent (CO2e) Units: All expiry months and strategies 5 seconds No threshold Futures Contracts on Canadian Crude Oil All expiry months and strategies 5 seconds No threshold Options on Three-Month Canadian B ankers Acceptance F utures Contracts: All expiry months and strategies 0 second 250 contracts All expiry months and strategies 5 seconds < 250 contracts Options on Ten-Year Government of Canada Bond Futures Contracts (OGB): All expiry months and strategies 0 second 250 contracts All expiry months and strategies 5 seconds < 250 contracts Equity, ETF and Currency Options: All expiry months 0 second 100 contracts All expiry months 5 seconds < 100 contracts All UDS Strategies 5 seconds No Threshold Index Options: All expiry months 0 second 50 contracts All expiry months 5 seconds < 50 contracts All UDS Strategies 5 seconds No Threshold Canadian Share Futures Contracts: All expiry months and strategies 0 seconds 100 contracts All expiry months and strategies 5 seconds < 100 contracts Futures and Options on Futures Inter-Group Strategies All strategies 5 seconds No threshold iii) The party that initiates communication regarding a prearranged transaction shall have his or her order entered into the electronic trading system first, unless the parties as part of their negotiation agree otherwise. The consent of the client, in whatever form, must be communicated to the Bourse upon request; provided however, that in a prearranged transaction between an Approved Participant and a customer for an equity, ETF or index option, the customer s order shall always be

18 entered into the electronic trading system first, regardless of which party initiated the communication. iv) the transactions are executed in accordance with the Procedures Applicable to the Execution of Cross Transactions and the Execution of Prearranged Transactions. The eligible securities or derivative instruments, the prescribed time delays and the minimum volume thresholds are determined by the Bourse and published in the Procedures Applicable to the Execution of Cross Transactions and the Execution of Prearranged Transactions. It is forbidden to use the hidden volume functionality of the electronic trading system of the Bourse to execute a cross transaction or a prearranged transaction. 4) Block Trades A block trade is considered having occurred when one or more approved participants and/or clients engage in prenegotiation discussions to arrange large size transactions away from the electronic trading system of the Bourse (as permitted by article 6005 of this Rule) at prices mutually agreed upon, report to the Bourse the terms of their agreement and the Bourse agrees to them. An approved participant of the Bourse may execute a block trade for a volume equal to or greater than the applicable minimum volume threshold in a security or derivative instrument, other than an equity option or a share futures contract, designated by the Bourse pursuant to the following conditions and those of article ) of this Rule, if applicable: i) A block trade may be arranged in a designated security or derivative instrument only during the trading hours and business days authorized by the Bourse. Once a block trade has been arranged, an approved participant must submit details of the block trade to the Bourse as soon as practicable and in any event within the period of time prescribed by the Bourse. ii) A block trade may be arranged only in a security or derivative instrument that has been designated by the Bourse for that purpose. Such designations will be published by the Bourse, together with the minimum volume thresholds applying to those designated securities or derivative instruments. Approved participants are permitted to enter into blocklimit orders resting in the electronic trading system at the time that the first order of the prearranged transaction is entered at or better than the price of the first order shall be matched with the first order entered. Any residual, unfilled amount of the first order may be matched against the second order of the prearranged transaction when the second order is entered. v) Parties may not aggregate unrelated orders to meet the minimum threshold for a prearranged transaction. vi) The parties to the prearranging communications shall not disclose to any other party details of the negotiation or otherwise enter an order to take advantage of the negotiation during such communications except as permitted in this article. 2) Committed Orders. Committed orders may not be used to execute any transaction under article 6380c or article 6380f having a prescribed time delay, or to execute strategies, and

19 may be used for such transactions only for the following products subject to the minimum quantity threshold: ELIGIBLE DERIVATIVES FOR COMMITTED ORDERS Futures Contracts on S&P/TSX Indices Options on Three-Month Canadian Bankers Acceptance Futures Contracts Options on Ten-Year Government of Canada Bond Futures Contracts Equity, ETF and Currency Options Index Options Canadian Share Futures Contracts MINIMUM VOLUME THRESHOLD 100 contracts 250 contracts 250 contracts 100 contracts 50 contracts 100 contracts 3) Transactions on eligible products with a prescribed time delay. The parties may engage in communications to prearrange a transaction on the electronic trading system or via the User Defined Strategy Facility (UDS) where one party wishes to be assured that there will be a counterparty willing to take the opposite side of the transaction, in accordance with the conditions in paragraph 1 of this article 6380c; provided however: in the case of a prearranged transaction that is between the bid and ask on the electronic trading system and for an amount at or greater than the minimum threshold, the parties in their discretion may enter the prearranged transaction as a committed order with no delay, subject to the conditions in paragraph 2 of article 6380c; or in the case of a prearranged transaction that is on or between the bid and ask on the electronic trading system and for an amount at or greater than the minimum threshold, the parties enter the first and second orders of the prearranged transaction with no delay between the two, but nevertheless subject to execution risk (including the priority given resting limit orders at or better than the prearranged price). 4) Equity, ETF, Index and Currency Option Transactions With 50% Guaranteed Minimum The parties to an option strategy transaction may engage in communications to prearrange the transaction where one party wishes to be assured that there will be a counterparty willing to take the opposite side of the transaction, in accordance with the following conditions: i) market makers are permitted to participate on the transaction up to a total maximum of 50% of the volume of the intended transaction;

20 6380d. Block Trades ii) each Approved Participant must contact a Market Supervisor and provide details of the intended transaction including total quantity, price, side(s) of the transaction, a description of the legs comprising the strategy and identification of the agreed counterparty; and iii) the Approved Participant will be permitted to execute the transaction for the remaining volume (a minimum of 50% plus any volume not taken of the 50% that had been offered to the market makers). 1) In general. Approved Participants of the Bourse may negotiate and execute a transaction off of the electronic trading system pursuant to the following conditions: i) A block trade transaction may be arranged and executed only during trading hours on the Bourse for the eligible derivative. ii) Block trades are only permitted in any strategy recognized by the Bourse. the derivative instruments and for a quantity which meets or exceeds the minimum volume thresholds as follows: ELIGIBLE DERIVATIVES MINIMUM VOLUME THRESHOLD 30-Day Overnight Repo Rate Futures Contracts (ONX) Overnight Index Swap Futures Contracts (OIS) Ten-Year Government of Canada Bond Futures Contracts (CGB) Two-Year Government of Canada Bond Futures Contracts (CGZ) 30-Year Government of Canada Bond Futures Contracts (LGB) Five-Year Government of Canada Bond Futures Contracts (CGF) Options on Three-Month Canadian Bankers Acceptance Futures Contracts Canadian Crude Oil Futures Contracts 1,000 contracts 200 contracts 1,500 contracts 500 contracts 500 contracts 500 contracts 2,000 contracts 100 contracts

21 ELIGIBLE DERIVATIVES Futures contracts on the FTSE Emerging Markets Index B ankers Acceptance Futures Contracts quarterlies five through eight (BAX Reds) Three-Month Canadian B ankers Acceptance F utures Contracts quarterlies nine through twelve (BAX Greens) MINIMUM VOLUME THRESHOLD 100 contracts 1,000 contracts 500 contracts iii) Where a strategy involves the trading of two or moreblock strategy involves the trading of different securities or derivative instruments, the smaller of the minimum volume thresholds of the securities or derivative instruments comprised in the block trade will be applied to each of these securities or derivative instruments. Where the strategy involves the trading of two or morederivative instruments, or different contract months and/or strike prices of the same contract month, the minimum volume threshold will apply to each leg of the trade, except where specific provision has been made within the published minimum thresholds.or premiums of the same instrument, each of derivatives of the strategy need meet only the lowest applicable threshold. iv) Approved pparticipants may not aggregate separate orders in order to meet the minimum volume thresholds. v) Each party to a block trade must be an accredited counterparty as defined in section 3 of the Quebec Derivatives Act, CQLR c I vi) The price at which a block trade is arranged must be fair and reasonable in light of (ia) the size of such athe block trade; (iib) currently traded prices and bid and ask prices in the same contract, at the relevant time; (iii) currently traded prices and bid and ask prices in other contract months for futures contracts or other option series for options contracts; (iv) currently traded prices and bid and ask prices in other relevant markets, including without limitation derivative instrument; (c) the underlying markets; (v) the volatility and liquidity of the relevant market; and (viand (d) general market conditions., all at the relevant time. The fairness and reasonableness of the price of a block trade priced at a basis to an index as permitted under paragraph 2 of this article may also take into account the following additional considerations: (e) financing rates, (f) expected dividend income, and (g) time remaining until the index futures contract expiration, all at the relevant time. Although there is no requirement for a block trade to be executed within the daily high and low prices, execution outside of that price range may result in a request by the Regulatory Division for additional information about the transaction. vivii) Block trades shall not set offtrigger special terms orders or otherwise affect orders inon the regular marketelectronic trading system.

22 vii) With the exception of futures contracts on the FTSE Emerging Markets Index, it is strictly prohibited for an approved participant, for both the buyer and the seller, to enter into a block trade to circumvent the contract month roll in the corresponding security or derivative instrument. The eligible securities or derivative instruments and the minimum volume thresholds are determined by the Bourse and published in the Procedures for the Execution of Block Trades. 5) Riskless Basis Cross Transactions A riskless basis cross transaction occurs when an approved participant and a client engage in pre negotiation discussions to conclude a riskless basis cross viii)a block trade on a contract roll strategy is not permitted, except for the FTSE Emerging Markets Index futures contract. ix) The details of a block trade must be reported by Approved Participants for both the buyer and seller to the Market Operations Department by telephone at or at and on a Block Trade Reporting Form, available on the Bourse s web site at within 15 minutes of the Block Trade s execution. x) Following validation of the trade details by the Bourse (which is not a confirmation by the Bourse that the block trade has been effected in accordance with this Article), the Bourse shall disseminate the trade and price information relating to the block trade. xi) Upon request, the Approved Participant shall provide evidence 2) Block Trades Priced at a Basis to Index Close. Approved Participants may mutually agree to price a block trade at a positive or negative increment ( basis ) to the price at which the index underlying an eligible contract will close ( BIC ), for any trading day except the last trading day of an expiring contract month, subject to the conditions in paragraph (1) of article 6380d and the following additional condition: i) The Approved Participants shall report the basis along with other trade details in accordance with the requirements of paragraph 1) ix) of this article, and shall submit to the Bourse s Market Operations Department a second Block Trade Reporting Form which includes the agreed-upon basis, the closing level of the underlying index and the price of the block trade to the nearest 0.01 index point increment within the time required as follows: ELIGIBLE DERIVATIVES MINIMUM VOLUME THRESHOLD PRESCRIBED TIME BY WHICH TO FILE BLOCK TRADE REPORTING FORM PRESCRIBED TIME BY WHICH TO FILE SECOND BLOCK TRADE REPORTING FORM Futures contracts on the FTSE Emerging Markets Index 100 contracts Within 15 minutes 9:30 p.m. GMT on the next trading day

23 Futures contracts on S&P/TSX indices and sectorial indices 100 contracts Within 15 minutes 4:00 p.m. ET on the same trading day 6380e. Riskless Basis Cross Trades 1) In general. An Approved Participant and the customer may prearrange a transaction outside of the posted order book (as permitted by article 6005 of this Rule) at a pre-determined price. The futures contract price is comprised of an average price resulting from a preliminary transaction in the cash market plus a prenegotiated basis spread mutually agreed upon between the approved participant and the client. A riskless basis cross transaction can be executed on the Bourse once the approved participant has acquired market exposure using cash instruments as prescribed in the procedures established by the Bourse. In order to qualify as a riskless basis cross transaction, the following conditions must be respected: i) Riskless basis cross transactions must at all times be executed in accordance with such other procedures, terms and conditions that the Bourse may prescribe from time to time. ii) The futures contracts that are eligible to riskless basis cross transactions, and the last day and time for executing such transactions shall be determined by the Bourse. iii) The cash components acceptable for the purpose of a riskless basis cross transaction are those specified in the procedures set by the Bourse. iv) Each party to a riskless basis cross transaction must satisfy the Bourse, upon request, that the transaction is a bona fide transaction. To this effect, parties to such a transaction must maintain and must provide to the Bourse upon request complete records and documentary evidence relating to such transaction including all records relating to the purchase or sale of securities and futures contracts and to any transfer of positions made in connection with such transaction. v) It is prohibited for any party to a riskless basis cross transaction to effect a transaction which is contrary to the requirements and practices prescribed by the rules, policies and procedures of the Bourse or to effect such a transaction for the sole purpose of reporting, registering or recording a price that is not a bona fide price or of making a transaction which is a "wash trade", an accommodation trade or a fictitious sale.electronic trading system in which the price of a stock index futures contract or a share futures contract to the customer is determined to be the average price of cash market transactions entered into by and for the account of the Approved Participant in the components of the underlying index or the underlying security, respectively, plus a spread (basis) as mutually agreed between the Approved Participant and the customer, in accordance with the following conditions: Each party to a Riskless Basis Cross Trade must be an accredited counterparty as defined in section 3 of the Quebec Derivatives Act, CQLR c I

24 The parties may agree to either a fixed basis or to a guaranteed execution price of the cash component with the basis adjusted accordingly. To initiate the Riskless Basis Cross Transaction, the Approved Participant for its own account must first acquire positions (long or short exposure) in securities, baskets of securities, index participation units, or exchange-traded funds which, for an index, comprise no less than 80% of the underlying components of the applicable index and being reasonably correlated to the underlying index with a correlation coefficient (R) of 90% or greater, calculated using any generally accepted methodology. Although Approved Participants generally should purchase or sell all of the components of the index, an Approved Participant need not obtain any component security due to restrictions on the purchase or sale of the commodity by the Approved Participant or the customer, the unavailability of the component in the market due to a trading halt, illiquidity or other market conditions. The transaction shall be executed at the time agreed by the counterparties, which must be during the regular trading hours of the underlying index components or single stock until the end of the extended trading session at the Toronto Stock Exchange (TSX) and the same day that the cash position is completed by the Approved Participant, provided however, if obtaining the cash components of the underlying index cannot be competed in a single day, execution of the futures portion of the transaction shall be proportionate with the proportion of the cash market transactions completed during that day. The Riskless Basis Cross transaction is executed by the Approved Participant reporting details of the transaction to the Market Operations Department on a Special Terms Transaction Reporting Form through the Bourse s web page at and allocating the agreed upon quantity of stock index futures contacts to the customer s account. There is no minimum size requirement to enter into a riskless basis cross transaction nor is there any time period following execution of the riskless basis cross transaction that the Approved Participant must maintain the cash market position. vi) A riskless basis cross transaction may be made at such prices that are mutually agreed upon by the two parties to this transaction. However, thethe price at which the futures contract leg of the transaction is arranged must be fair and reasonable in light of factors such as, but not limited to,(i) the size of the transaction, the currently (ii) traded prices and bid and ask prices in the same contract at the relevant time,(iii) the volatility and liquidity of the relevant market as well as theand (iv) general market conditions. all at the relevant time. Although there is no requirement for the futures contract leg of a riskless basis cross transaction to be executed within the daily high and low prices, execution outside of that price range may result in a request by the Regulatory Division for additional information about the transaction. vii) Each riskless basis cross transaction must be reported to the Bourse in accordance with the procedures set by the Bourse. Such report must be in the form

25 prescribed by the Bourse and must contain all the information required on such prescribed form. viii) Each riskless basis cross transaction must be immediately disseminated by the Bourse once it has validated it. ix) It is strictly prohibited for any party, for both the buyer and the seller, to enter into a riskless basis cross trade to circumvent the contract month roll in the corresponding security or derivative instrument. 6) Block Trades Priced at a Basis to the Index Close (BICs) Block trade priced at a basis to the index close (BICs) are block trade transactions on a security or derivative instrument designated by the Bourse that are priced in reference to the closing price of the relevant underlying index and the basis as determined during prenegotiation discussions. The futures price assigned to a BIC is based on the applicable closing price of the relevant index adjusted by a valid price increment ( basis ). The basis and final price of the BIC must be fair and reasonable taking into consideration, but without limitation to the consideration of, the following factors: financing rates, expected dividend income, time remaining until the index futures contract expiration, and any factors set forth in article ) v) of this Rule, as applicable. Each party to a riskless basis cross transaction must keep full and complete records relating to the riskless basis cross transaction and must provide to the Bourse upon request complete records and documentary evidence relating to such transaction demonstrating that the transaction is a bona fide transaction and that it has been carried out in accordance with the conditions of this article. The Bourse shall exclude riskless basis cross transactions from the daily settlement price procedures but not from daily volume figures. A record of each riskless basis cross shall appear in the Transaction Report maintained on the Bourse s Web page following it being registered by the Market Operations Department in the trading system and shall be specially marked and displayed in the systems (trading platform and data vendors) in the Bourse s post trade recap. 6380f. Trading Against Customer Orders (Cross-Trades). An Approved Participant may not knowingly, directly or indirectly, take the opposite side of a customer order for the Approved Participant s own account, an account in which the Approved Participant has a direct or indirect financial interest or an account over which the Approved Participant has discretionary trading authority, unless: A BIC is considered having occurred when one or more approved participants and/or clients engage in prenegotiation discussions to arrange large size

26 transactions, in accordance with the minimum volume thresholds determined by the Bourse, away from the electronic trading system of the Bourse (as set forth by article 6005 of this Rule) at a basis that has been mutually agreed upon, report to the Bourse the terms of their agreement and the Bourse agrees to them. the customer order has first been entered on the electronic trading system and exposed to the market for a minimum period of 5 seconds for futures and options; or While the basis to a prospective index price or the applicable closing price of the relevant index is established during prenegotiation discussions, the outright price for the transaction will only be established once the applicable closing price of the relevant underlying index has been established. On all trading days up to but excluding the last trading day of an expiring contract month, an approved participant of the Bourse may execute a BIC for a volume equal to or greater than the applicable minimum volume threshold in a security or derivative instrument designated by the Bourse pursuant to the conditions set forth in article ) of this Rule. the transaction is otherwise, and explicitly permitted by, and carried out in accordance with, a rule of the Bourse; including, but not limited to prearranged transactions pursuant to article 6380c.

27 6380 Transactions Required on Bourse Facilities ( , , , , , , , , , ) All trading in Listed Products must occur on or through the electronic trading system or in accordance with the rules of the Bourse. 6380a. Prearranged Transactions Prohibited. No Person shall prearrange or execute noncompetitively any transaction on or through the electronic trading system of the Bourse, except as permitted by, and in accordance with article 6380b. 6380b. Exceptions to Prohibition on Prearranged Transactions. The prohibition in article 6380a shall not apply to prearranged transactions pursuant to article 6380c; Block Trades pursuant to article 6380d; Riskless Basis Cross Trades pursuant to article 6380e; Exchange For Related Positions pursuant to articles 6815; and transfers of open positions under article 6816; provided however, no transaction under any of the exceptions included in this article may be executed using a hidden volume functionality. 6380c. Prearranged transactions. 1) In general. For the purpose of this article, communication means any communication for the purpose of discerning interest in the execution of a transaction prior to the exposure of the order to the market. Any communication that relates to the size, side of market or price of an order, or a potentially forthcoming order, constitutes a communication to prearrange a transaction. The parties to a transaction may engage in communications to prearrange a transaction on the electronic trading system in an eligible derivative in the minimum amount specified where one party wishes to be assured that there will be a counterparty willing to take the opposite side of the transaction, in accordance with the following conditions: i) A customer must consent to the Approved Participant engaging in prearranging communications on the customer s behalf. The consent of the client, in whatever form, must be communicated to the Bourse upon request; ii) After the first order for the prearranged transaction is entered into the electronic trading system the parties may not enter the second order for the prearranged transaction until the following specified time period has elapsed as follows: ELIGIBLE DERIVATIVES PRESCRIBED TIME PERIOD MINIMUM VOLUME THRESHOLD Three-Month Canadian Bankers Acceptance Futures Contracts (BAX): 1st four quarterly months not including 5 seconds No threshold

28 ELIGIBLE DERIVATIVES PRESCRIBED TIME PERIOD MINIMUM VOLUME THRESHOLD Remaining expiry months and strategies 15 seconds No threshold Thirty-Day Overnight Repo Rate Futures Contracts (ONX): Front month 5 seconds No threshold Remaining expiry months and strategies 15 seconds No threshold Overnight Index Swap Futures Contracts (OIS): Front month 5 seconds No threshold Remaining expiry months and strategies 15 seconds No threshold Government of Canada Bond Futures All expiry months and strategies 5 seconds No threshold Futures Contracts on S&P/TSX All expiry months 0 second 100 contracts All expiry months and strategies 5 seconds < 100 contracts Futures Contracts on the FTSE Emerging Markets Index: All expiry months 0 second 100 contracts All expiry months and strategies 5 seconds < 100 contracts Futures Contracts on Canada Carbon Dioxide Equivalent (CO2e) Units: All expiry months and strategies 5 seconds No threshold Futures Contracts on Canadian Crude Oil All expiry months and strategies 5 seconds No threshold Options on Three-Month Canadian Bankers Acceptance Futures Contracts: All expiry months and strategies 0 second 250 contracts All expiry months and strategies 5 seconds < 250 contracts Options on Ten-Year Government of Canada Bond Futures Contracts (OGB): All expiry months and strategies 0 second 250 contracts All expiry months and strategies 5 seconds < 250 contracts Equity, ETF and Currency Options: All expiry months 0 second 100 contracts All expiry months 5 seconds < 100 contracts All UDS Strategies 5 seconds No Threshold Index Options: All expiry months 0 second 50 contracts All expiry months 5 seconds < 50 contracts

29 ELIGIBLE DERIVATIVES PRESCRIBED TIME PERIOD MINIMUM VOLUME THRESHOLD All UDS Strategies 5 seconds No Threshold Canadian Share Futures Contracts: All expiry months and strategies 0 seconds 100 contracts All expiry months and strategies 5 seconds < 100 contracts Futures and Options on Futures Inter-Group Strategies All strategies 5 seconds No threshold iii) iv) The party that initiates communication regarding a prearranged transaction shall have his or her order entered into the electronic trading system first, unless the parties as part of their negotiation agree otherwise. The consent of the client, in whatever form, must be communicated to the Bourse upon request; provided however, that in a prearranged transaction between an Approved Participant and a customer for an equity, ETF or index option, the customer s order shall always be entered into the electronic trading system first, regardless of which party initiated the communication. Limit orders resting in the electronic trading system at the time that the first order of the prearranged transaction is entered at or better than the price of the first order shall be matched with the first order entered. Any residual, unfilled amount of the first order may be matched against the second order of the prearranged transaction when the second order is entered. v) Parties may not aggregate unrelated orders to meet the minimum threshold for a prearranged transaction. vi) The parties to the prearranging communications shall not disclose to any other party details of the negotiation or otherwise enter an order to take advantage of the negotiation during such communications except as permitted in this article. 2) Committed Orders. Committed orders may not be used to execute any transaction under article 6380c or article 6380f having a prescribed time delay, or to execute strategies, and may be used for such transactions only for the following products subject to the minimum quantity threshold: ELIGIBLE DERIVATIVES FOR COMMITTED ORDERS Futures Contracts on S&P/TSX Indices Options on Three-Month Canadian Bankers Acceptance Futures Contracts Options on Ten-Year Government of Canada Bond Futures Contracts MINIMUM VOLUME THRESHOLD 100 contracts 250 contracts 250 contracts

30 Equity, ETF and Currency Options Index Options Canadian Share Futures Contracts 100 contracts 50 contracts 100 contracts 3) Transactions on eligible products with a prescribed time delay. The parties may engage in communications to prearrange a transaction on the electronic trading system or via the User Defined Strategy Facility (UDS) where one party wishes to be assured that there will be a counterparty willing to take the opposite side of the transaction, in accordance with the conditions in paragraph 1 of this article 6380c; provided however: i) in the case of a prearranged transaction that is between the bid and ask on the electronic trading system and for an amount at or greater than the minimum threshold, the parties in their discretion may enter the prearranged transaction as a committed order with no delay, subject to the conditions in paragraph 2 of article 6380c; or ii) in the case of a prearranged transaction that is on or between the bid and ask on the electronic trading system and for an amount at or greater than the minimum threshold, the parties enter the first and second orders of the prearranged transaction with no delay between the two, but nevertheless subject to execution risk (including the priority given resting limit orders at or better than the prearranged price). 4) Equity, ETF, Index and Currency Option Transactions With 50% Guaranteed Minimum The parties to an option strategy transaction may engage in communications to prearrange the transaction where one party wishes to be assured that there will be a counterparty willing to take the opposite side of the transaction, in accordance with the following conditions: i) market makers are permitted to participate on the transaction up to a total maximum of 50% of the volume of the intended transaction; ii) iii) each Approved Participant must contact a Market Supervisor and provide details of the intended transaction including total quantity, price, side(s) of the transaction, a description of the legs comprising the strategy and identification of the agreed counterparty; and the Approved Participant will be permitted to execute the transaction for the remaining volume (a minimum of 50% plus any volume not taken of the 50% that had been offered to the market makers). 6380d. Block Trades 1) In general. Approved Participants of the Bourse may negotiate and execute a transaction off of the electronic trading system pursuant to the following conditions: i) A block trade transaction may be arranged and executed only during trading hours on the Bourse for the eligible derivative.

31 ii) Block trades are only permitted in the derivative instruments and for a quantity which meets or exceeds the minimum volume thresholds as follows: ELIGIBLE DERIVATIVES 30-Day Overnight Repo Rate Futures Contracts (ONX) Overnight Index Swap Futures Contracts (OIS) Ten-Year Government of Canada Bond Futures Contracts (CGB) Two-Year Government of Canada Bond Futures Contracts (CGZ) 30-Year Government of Canada Bond Futures Contracts (LGB) Five-Year Government of Canada Bond Futures Contracts (CGF) Options on Three-Month Canadian Bankers Acceptance Futures Contracts Canadian Crude Oil Futures Contracts Futures contracts on the FTSE Emerging Markets Index Bankers Acceptance Futures Contracts quarterlies five through eight (BAX Reds) Three-Month Canadian Bankers Acceptance Futures Contracts quarterlies nine through twelve (BAX Greens) MINIMUM VOLUME THRESHOLD 1,000 contracts 200 contracts 1,500 contracts 500 contracts 500 contracts 500 contracts 2,000 contracts 100 contracts 100 contracts 1,000 contracts 500 contracts iii) iv) Where a block strategy involves the trading of different derivative instruments, or different contract months or premiums of the same instrument, each of derivatives of the strategy need meet only the lowest applicable threshold. Approved Participants may not aggregate separate orders in order to meet the minimum volume thresholds.

32 v) Each party to a block trade must be an accredited counterparty as defined in section 3 of the Quebec Derivatives Act, CQLR c I vi) vii) viii) ix) The price at which a block trade is arranged must be fair and reasonable in light of (a) the size of the block trade; (b) currently traded prices and bid and ask prices in the same derivative instrument; (c) the underlying markets; and (d) general market conditions, all at the relevant time. The fairness and reasonableness of the price of a block trade priced at a basis to an index as permitted under paragraph 2 of this article may also take into account the following additional considerations: (e) financing rates, (f) expected dividend income, and (g) time remaining until the index futures contract expiration, all at the relevant time. Although there is no requirement for a block trade to be executed within the daily high and low prices, execution outside of that price range may result in a request by the Regulatory Division for additional information about the transaction. Block trades shall not trigger special terms orders or otherwise affect orders on the electronic trading system. A block trade on a contract roll strategy is not permitted, except for the FTSE Emerging Markets Index futures contract. The details of a block trade must be reported by Approved Participants for both the buyer and seller to the Market Operations Department by telephone at or at and on a Block Trade Reporting Form, available on the Bourse s web site at within 15 minutes of the Block Trade s execution. x) Following validation of the trade details by the Bourse (which is not a confirmation by the Bourse that the block trade has been effected in accordance with this Article), the Bourse shall disseminate the trade and price information relating to the block trade. xi) Upon request, the Approved Participant shall provide evidence 2) Block Trades Priced at a Basis to Index Close. Approved Participants may mutually agree to price a block trade at a positive or negative increment ( basis ) to the price at which the index underlying an eligible contract will close ( BIC ), for any trading day except the last trading day of an expiring contract month, subject to the conditions in paragraph (1) of article 6380d and the following additional condition: i) The Approved Participants shall report the basis along with other trade details in accordance with the requirements of paragraph 1) ix) of this article, and shall submit to the Bourse s Market Operations Department a second Block Trade Reporting Form which includes the agreed-upon basis, the closing level of the underlying index and the price of the block trade to the nearest 0.01 index point increment within the time required as follows:

33 ELIGIBLE DERIVATIVES MINIMUM VOLUME THRESHOLD PRESCRIBED TIME BY WHICH TO FILE BLOCK TRADE REPORTING FORM PRESCRIBED TIME BY WHICH TO FILE SECOND BLOCK TRADE REPORTING FORM Futures contracts on the FTSE Emerging Markets Index Futures contracts on S&P/TSX indices and sectorial indices 100 contracts Within 15 minutes 9:30 p.m. GMT on the next trading day 100 contracts Within 15 minutes 4:00 p.m. ET on the same trading day 6380e. Riskless Basis Cross Trades 1) In general. An Approved Participant and the customer may prearrange a transaction outside of the electronic trading system in which the price of a stock index futures contract or a share futures contract to the customer is determined to be the average price of cash market transactions entered into by and for the account of the Approved Participant in the components of the underlying index or the underlying security, respectively, plus a spread (basis) as mutually agreed between the Approved Participant and the customer, in accordance with the following conditions: a) Each party to a Riskless Basis Cross Trade must be an accredited counterparty as defined in section 3 of the Quebec Derivatives Act, CQLR c I b) The parties may agree to either a fixed basis or to a guaranteed execution price of the cash component with the basis adjusted accordingly. c) To initiate the Riskless Basis Cross Transaction, the Approved Participant for its own account must first acquire positions (long or short exposure) in securities, baskets of securities, index participation units, or exchange-traded funds which, for an index, comprise no less than 80% of the underlying components of the applicable index and being reasonably correlated to the underlying index with a correlation coefficient (R) of 90% or greater, calculated using any generally accepted methodology. Although Approved Participants generally should purchase or sell all of the components of the index, an Approved Participant need not obtain any component security due to restrictions on the purchase or sale of the commodity by the Approved Participant or the customer, the unavailability of the component in the market due to a trading halt, illiquidity or other market conditions. d) The transaction shall be executed at the time agreed by the counterparties, which must be during the regular trading hours of the underlying index components or single stock until the end of the extended trading session at the Toronto Stock Exchange (TSX) and the same day that the cash position is completed by the Approved Participant, provided however, if obtaining the cash components of the underlying index cannot be competed in a single day,

34 execution of the futures portion of the transaction shall be proportionate with the proportion of the cash market transactions completed during that day. e) The Riskless Basis Cross transaction is executed by the Approved Participant reporting details of the transaction to the Market Operations Department on a Special Terms Transaction Reporting Form through the Bourse s web page at and allocating the agreed upon quantity of stock index futures contacts to the customer s account. f) There is no minimum size requirement to enter into a riskless basis cross transaction nor is there any time period following execution of the riskless basis cross transaction that the Approved Participant must maintain the cash market position. g) The price at which the futures contract leg of the transaction is arranged must be fair and reasonable in light of (i) the size of the transaction (ii) traded prices and bid and ask prices in the same contract (iii) the volatility and liquidity of the relevant market and (iv) general market conditions all at the relevant time. Although there is no requirement for the futures contract leg of a riskless basis cross transaction to be executed within the daily high and low prices, execution outside of that price range may result in a request by the Regulatory Division for additional information about the transaction. h) Each riskless basis cross transaction must be reported to the Bourse in accordance with the procedures set by the Bourse. Such report must be in the form prescribed by the Bourse and must contain all the information required on such prescribed form. i) Each party to a riskless basis cross transaction must keep full and complete records relating to the riskless basis cross transaction and must provide to the Bourse upon request complete records and documentary evidence relating to such transaction demonstrating that the transaction is a bona fide transaction and that it has been carried out in accordance with the conditions of this article. i) The Bourse shall exclude riskless basis cross transactions from the daily settlement price procedures but not from daily volume figures. A record of each riskless basis cross shall appear in the Transaction Report maintained on the Bourse s Web page following it being registered by the Market Operations Department in the trading system and shall be specially marked and displayed in the systems (trading platform and data vendors) in the Bourse s post trade recap. 6380f. Trading Against Customer Orders (Cross-Trades). An Approved Participant may not knowingly, directly or indirectly, take the opposite side of a customer order for the Approved Participant s own account, an account in which the Approved Participant has a direct or indirect financial interest or an account over which the Approved Participant has discretionary trading authority, unless: a) the customer order has first been entered on the electronic trading system and exposed to the market for a minimum period of 5 seconds for futures and options; or

35 b) the transaction is otherwise, and explicitly permitted by, and carried out in accordance with, a rule of the Bourse; including, but not limited to prearranged transactions pursuant to article 6380c.

36 6381 Cancellation or Adjustment of Trades Trade Cancellations and or Price Adjustments of Trades ( , , , , , ) A)A trade on a) General. The Bourse may adjust trade prices or cancel trades when such action is necessary to mitigate market disrupting events caused by the improper or erroneous use of the trading system. Notwithstanding any other provision of this article, the Bourse may adjust trade prices or cancel any trade executed through the trading system if the Bourse determines in its sole discretion that allowing the trade to stand as executed may have a material, adverse effect on the integrity of the market or the market s orderly operation. The decision of the Bourse in such matters shall be final. b) Review of Trades, Requests for Review. The Bourse may review a trade or trades based upon its analysis of market conditions, including but not limited to market volatility, prices in related markets, or in response to a request for review of a specific trade by an Approved Participant. An Approved Participant must request review of a trade by calling the Market Operations Department of the Bourse at or within 15 minutes of execution; provided however, the Bourse, in itssole discretion, may extend the period in which an Approved Participant may request review of a trade up to one hour following execution in extraordinary circumstances. c) Notice to the Parties to the Transaction. Where the Bourse on its own analysis determines to review a trade or trades for adjustment or cancellation, or where an Approved Participant has requested review of a specific trade and that trade is outside of the No Review Range provided under paragraph g) of this article, the Bourse will notify the parties to the trade that the trade or trades are under review by the Bourse. d) Price Adjustments and Cancellations Procedures. Upon making a determination to review a trade, the Bourse shall (1) determine, in its sole discretion, the acceptable marker price, and (2) apply the increments provided under paragraph g) in order to determine the limits of the No Review Range. i) Trade Price Inside the No-Review Range. If the Bourse determines that the trade price is inside the No Review Range, the Bourse will notify the two Approved Participant counterparties to the trade that the trade shall stand as executed; provided however, the Bourse may cancel such a trade within 15 minutes of the trade s execution and within the trading session during which the trade was executed (early, regular or extended), if both Approved Participant counterparties to the trade voluntarily consent to cancellation of the trade. ii) Trade Price Outside the No Review Range. If the Bourse determines that the trade price is outside of the No-Review Range, the Bourse, after

37 endeavoring to contact the Approved Participant counterparties, shall adjust the price to the limit of the No Review Range. The policy of the Bourse is to favor price adjustment as a remedy over trade cancellation and to adjust trades in order to minimize the impact for all market participants involved in the erroneous trades and particularly those who had a regular order in the order book. However, the Bourse, in its discretion, may cancel a trade rather than adjust the price if: A) Both parties to the trade can be contacted within a reasonable delay and agree to the cancellation of the trade; and B) Neither party to the trade is either an Approved Participant or the registered holder of a SAM ID. iii) Implied Orders, Implied Strategy Orders. A) An order generated by the implied pricing algorithm (using regular orders) and registered in the order book by the electronic trading system resulting from an input error can be cancelled by the parties agreeing to it within 15 minutes following its execution. The error and the request to cancel the resulting transaction must be verbally communicated (by telephone) by the approved participant to a Market Supervisor of the Bourse. B)The Bourse may at any time cancel or adjust a trade if it is judged to be detrimental to the normal operation or quality of the market or in any circumstance judged appropriate by a Market Supervisor. The decisions are final and cannot be appealed.will be considered by the Bourse as though it were a regular order entered into the trading system by an Approved Participant. B) An implied or regular strategy trade is considered by the Bourse, as being composed of two regular orders, one for each leg of the strategy trade. If the erroneous trade involves a linked implied order(s) and is priced outside the No Review Range, the initiator of the original error trade will be responsible for the trade resulting from the linked implied order(s). C) The adjustment relating to an erroneous strategy trade will equal at least the increment between the No Review Range and the traded price on one of the individual legs, and no more than the sum of each individual legs increments. iv) Stop Orders. Trades that have occurred as a result of stop orders in the Trading System being triggered by an erroneous trade are also subject to cancellation by the Bourse acting in its sole discretion. The determination of the Bourse shall be final.

38 e) Decision of the Bourse. The Bourse shall endeavor to determine to adjust or cancel a trade within 30 minutes following a request to review the trade, or, as applicable, notice to the market that a trade or trades were being reviewed. i) If the decision is to cancel the trade, the Bourse will remove the transaction as an executed trade from the records of the Bourse. ii) Upon cancelation of a trade, the parties, if they choose, may reenter new orders into the trading system. f) If the Bourse determines that a trade should not be adjusted or cancelled, the parties to the trade shall not themselves decide to cancel it by making a position transfer through the Canadian Derivatives Clearing Corporation. g) No Review Range. The Bourse will determine the limits of the No Review Range by determining what was the acceptable market price for the derivative instrument before the trade under review occurred based upon all relevant information, including the last trade price, a better bid or offer, a more recent price for a related derivative instrument (for example a different expiry month) and the prices of similar derivative instruments trading on other markets Once the acceptable market price is established, the Bourse applies the following increments to determine the limits of the No Review Range. DERIVATIVE INSTRUMENT INCREMENT Three-Month Canadian Banker s Acceptance Futures BAX (all quarterly and serial months) 5 basis points DERIVATIVE INSTRUMENT INCREMENT Three-Month Canadian Banker s Acceptance Futures BAX Strategies: -Regular strategy orders -Implied strategy orders Options on Three-Month Canadian Banker s Acceptance Futures Two-Year Government of Canada Bond Futures (CGZ) -Regular strategy orders -Implied Strategy orders Five-Year Government of Canada Bond Futures 5 basis points Sum of the strategy s individual legs increments. 5 basis points 20 basis points 20 basis points Sum of strategy s individual legs increments 20 basis points

39 (CGF) -Regular strategy orders 20 basis points Sum of strategy s individual legs increments -Implied Strategy orders Ten-Year Government of Canada Bond Futures (CGB) - Regular strategy orders 30-Year Government of Canada Bond Futures (LGB) -Regular strategy orders -Implied Strategy orders Options on Government of Canada Bond Futures Futures Contracts on S&P/TSX Indices and on the FTSE Emerging Markets Index - Regular strategy orders 30-Day Overnight Repo Rate Futures Regular strategy orders Overnight Index Swap Futures Overnight Index Swap Futures OIS Strategies: -Regular strategy orders 40 basis points 20 basis points 40 basis points 40 basis points Sum of strategy s individual legs increments 40 basis points 1% of the acceptable market price of these futures contracts 5% of the increments for the outright month 5 basis points 5 basis points 5 basis points 5 basis points Sum of the strategy s individual legs increments. -Implied strategy orders Futures and Options on Futures Inter-Group Strategies: Sum of strategy s individual legs increments -Regular strategy orders -Implied Strategy orders Equity, Currency, ETF and Index Options Price ranges: Below $2.00 $2.00 to $5.00 Above $5.00 to $10.00 Above $10.00 to $20.00 Above $20.00 to $50.00 Above $50.00 to $ $0.25 $0.40 $0.50 $0.80 $1.00 $1.50

40 Above $ $2.00 Equity, Currency, ETF and Index Options Strategies: Sum of the strategy s individual legs increments -Regular strategy orders -Implied strategy orders Sponsored Options Price ranges: $0.001 to $0.99 $1.00 and up Canadian Share Futures Contracts Regular and extended sessions: Early session: Futures Contracts on Canadian Crude Oil $0.25 $ $, if the acceptable market price of these futures contracts is less than 25$; $, if the acceptable market price of these futures contracts is equal to or higher than 25$ but less than 100$; 3. 1% of the acceptable market price of these futures contracts if the acceptable market price of these futures contracts is equal to or higher than 100$. 5% of the acceptable market price of these futures contracts 5% of the acceptable market price of these futures contracts.

41 6381 Trade Cancellations and or Price Adjustments of Trades ( , , , , , ) a) General. The Bourse may adjust trade prices or cancel trades when such action is necessary to mitigate market disrupting events caused by the improper or erroneous use of the trading system. Notwithstanding any other provision of this article, the Bourse may adjust trade prices or cancel any trade executed through the trading system if the Bourse determines in its sole discretion that allowing the trade to stand as executed may have a material, adverse effect on the integrity of the market or the market s orderly operation. The decision of the Bourse in such matters shall be final. b) Review of Trades, Requests for Review. The Bourse may review a trade or trades based upon its analysis of market conditions, including but not limited to market volatility, prices in related markets, or in response to a request for review of a specific trade by an Approved Participant. An Approved Participant must request review of a trade by calling the Market Operations Department of the Bourse at or within 15 minutes of execution; provided however, the Bourse, in itssole discretion, may extend the period in which an Approved Participant may request review of a trade up to one hour following execution in extraordinary circumstances. c) Notice to the Parties to the Transaction. Where the Bourse on its own analysis determines to review a trade or trades for adjustment or cancellation, or where an Approved Participant has requested review of a specific trade and that trade is outside of the No Review Range provided under paragraph g) of this article, the Bourse will notify the parties to the trade that the trade or trades are under review by the Bourse. d) Price Adjustments and Cancellations Procedures. Upon making a determination to review a trade, the Bourse shall (1) determine, in its sole discretion, the acceptable marker price, and (2) apply the increments provided under paragraph g) in order to determine the limits of the No Review Range. i) Trade Price Inside the No-Review Range. If the Bourse determines that the trade price is inside the No Review Range, the Bourse will notify the two Approved Participant counterparties to the trade that the trade shall stand as executed; provided however, the Bourse may cancel such a trade within 15 minutes of the trade s execution and within the trading session during which the trade was executed (early, regular or extended), if both Approved Participant counterparties to the trade voluntarily consent to cancellation of the trade. ii) Trade Price Outside the No Review Range. If the Bourse determines that the trade price is outside of the No-Review Range, the Bourse, after endeavoring to contact the Approved Participant counterparties, shall adjust the price to the limit of the No Review Range. The policy of the Bourse is to favor price adjustment as a remedy over trade cancellation

42 and to adjust trades in order to minimize the impact for all market participants involved in the erroneous trades and particularly those who had a regular order in the order book. However, the Bourse, in its discretion, may cancel a trade rather than adjust the price if: A) Both parties to the trade can be contacted within a reasonable delay and agree to the cancellation of the trade; and B) Neither party to the trade is either an Approved Participant or the registered holder of a SAM ID. iii) Implied Orders, Implied Strategy Orders. A) An order generated by the implied pricing algorithm (using regular orders) and registered in the order book by the electronic trading system will be considered by the Bourse as though it were a regular order entered into the trading system by an Approved Participant. B) An implied or regular strategy trade is considered by the Bourse, as being composed of two regular orders, one for each leg of the strategy trade. If the erroneous trade involves a linked implied order(s) and is priced outside the No Review Range, the initiator of the original error trade will be responsible for the trade resulting from the linked implied order(s). C) The adjustment relating to an erroneous strategy trade will equal at least the increment between the No Review Range and the traded price on one of the individual legs, and no more than the sum of each individual legs increments. iv) Stop Orders. Trades that have occurred as a result of stop orders in the Trading System being triggered by an erroneous trade are also subject to cancellation by the Bourse acting in its sole discretion. The determination of the Bourse shall be final. e) Decision of the Bourse. The Bourse shall endeavor to determine to adjust or cancel a trade within 30 minutes following a request to review the trade, or, as applicable, notice to the market that a trade or trades were being reviewed. i) If the decision is to cancel the trade, the Bourse will remove the transaction as an executed trade from the records of the Bourse. ii) Upon cancelation of a trade, the parties, if they choose, may reenter new orders into the trading system.

43 f) If the Bourse determines that a trade should not be adjusted or cancelled, the parties to the trade shall not themselves decide to cancel it by making a position transfer through the Canadian Derivatives Clearing Corporation. g) No Review Range. The Bourse will determine the limits of the No Review Range by determining what was the acceptable market price for the derivative instrument before the trade under review occurred based upon all relevant information, including the last trade price, a better bid or offer, a more recent price for a related derivative instrument (for example a different expiry month) and the prices of similar derivative instruments trading on other markets Once the acceptable market price is established, the Bourse applies the following increments to determine the limits of the No Review Range. DERIVATIVE INSTRUMENT INCREMENT Three-Month Canadian Banker s Acceptance Futures BAX (all quarterly and serial months) 5 basis points DERIVATIVE INSTRUMENT Three-Month Canadian Banker s Acceptance Futures BAX Strategies: - Regular strategy orders - Implied strategy orders Options on Three-Month Canadian Banker s Acceptance Futures Two-Year Government of Canada Bond Futures (CGZ) - Regular strategy orders - Implied Strategy orders Five-Year Government of Canada Bond Futures (CGF) - Regular strategy orders - Implied Strategy orders Ten-Year Government of Canada Bond Futures (CGB) - Regular strategy orders 5 basis points INCREMENT Sum of the strategy s individual legs increments. 5 basis points 20 basis points 20 basis points Sum of strategy s individual legs increments 20 basis points 20 basis points Sum of strategy s individual legs increments 40 basis points 20 basis points

44 30-Year Government of Canada Bond Futures (LGB) - Regular strategy orders - Implied Strategy orders Options on Government of Canada Bond Futures Futures Contracts on S&P/TSX Indices and on the FTSE Emerging Markets Index - Regular strategy orders 30-Day Overnight Repo Rate Futures Regular strategy orders Overnight Index Swap Futures Overnight Index Swap Futures OIS Strategies: - Regular strategy orders - Implied strategy orders Futures and Options on Futures Inter-Group Strategies: 40 basis points 40 basis points Sum of strategy s individual legs increments 40 basis points 1% of the acceptable market price of these futures contracts 5% of the increments for the outright month 5 basis points 5 basis points 5 basis points 5 basis points Sum of the strategy s individual legs increments. Sum of strategy s individual legs increments - Regular strategy orders - Implied Strategy orders Equity, Currency, ETF and Index Options Price ranges: Below $2.00 $2.00 to $5.00 Above $5.00 to $10.00 Above $10.00 to $20.00 Above $20.00 to $50.00 Above $50.00 to $ Above $ Equity, Currency, ETF and Index Options Strategies: $0.25 $0.40 $0.50 $0.80 $1.00 $1.50 $2.00 Sum of the strategy s individual legs increments - Regular strategy orders - Implied strategy orders Sponsored Options Price ranges: $0.001 to $0.99 $0.25

45 $1.00 and up $0.50 Canadian Share Futures Contracts Regular and extended sessions: $, if the acceptable market price of these futures contracts is less than 25$; $, if the acceptable market price of these futures contracts is equal to or higher than 25$ but less than 100$; Early session: 3. 1% of the acceptable market price of these futures contracts if the acceptable market price of these futures contracts is equal to or higher than 100$. 5% of the acceptable market price of these futures contracts Futures Contracts on Canadian Crude Oil 5% of the acceptable market price of these futures contracts.

46 6383 Acceptable Market Price ( , , , , abr ) Before the cancellation of a trade, the Market Supervisor of the Bourse notes the spread between the price execution of the trade that is requested to be cancelled and the acceptable market price and determines the estimated price at which the trade should have been done in normal execution conditions. The acceptable market price is determined by the Market Supervisor of the Bourse on the basis of available market information at the time the trade, requested to be cancelled was executed Acceptable Market Price ( , , , , abr )

47 6384 Decision by the Market Supervisor of the Bourse ( , , , , abr ) A trade will not be cancelled: -if the error and the request to cancel the resulting trade have been communicated to the Bourse by the approved participant outside the prescribed delay; -if the spread between the execution price of the trade to be cancelled and the acceptable market price is inferior to the spread determined by a Market Supervisor of the Bourse; -if a Market Supervisor of the Bourse considers that he does not have sufficient information to determine the acceptable market price; -if the information communicated to the Bourse by the approved participant is incomplete or insufficient. The Market Supervisor s decision is final and cannot be appealed Decision by the Market Supervisor of the Bourse ( , , , , abr )

48 6385 Delays of Decision and Notifications ( , , , , abr ) The Market Supervisor of the Bourse will decide to cancel or refuse to cancel a transaction and will inform each party to the trade of this decision. This will be done within thirty minutes following the communication of the error and of the cancellation request to the Bourse by the approved participant within the same delay Delays of Decision and Notifications ( , , , , abr )

49 6388 Daily Price Limits ( , , , abr ) The Bourse establishes for each derivative instrument a daily price limit, based on a percentage, with respect to the previous day's settlement price and there shall be no trading above or below that limit. The daily price limit percentage is established on a monthly basis in collaboration with the clearing corporation Daily Price Limits ( , , , abr )

50 6393 TradingOrder Price LimitsFilter ( , , , ) In order to minimize errors of the approved participant during order entry in the electronic trading system, that may affect orderly trading, the Bourse establishes an order price limits are in placefilter for each instrument. This will protect the approved participant from entering a wrong price, which could move the market dramatically.listed Product. The approved participant who has placed an order which is not in the trading price limits, will receive a specific message that his order has been rejected. The trading price limits will be set atany order exceeding the order price filter automatically will be rejected by the electronic trading system and the Person entering the rejected order will be notified. The order price filter is determined by the Bourse before the start of trading on every business day based onupon the previous day' s settlement price (plus or minus). These limits willand may be adjusted at any time by the Market Supervisor of the Bourse during the trading day, based on the movement of the market. The Bourse will be responsible to make sure the limits will not affect trading in any way. The new limits will be broadcasted to the market. Once the trading price limit has reached the daily price limits, the daily price limits are effective.acting in his or her discretion, upon his or her own initiative or upon request. Any changes in the level of the order price filter shall be broadcast to the market. The Bourse will advise the approved participants of any change to the spread of the trading price limits.the order price filter will not be re-adjusted intra-session for trading sessions during which the underlying exchange-traded products are not open for trading.

51 6393 Order Price Filter ( , , , ) In order to minimize errors during order entry in the electronic trading system that may affect orderly trading, the Bourse establishes an order price filter for each Listed Product. Any order exceeding the order price filter automatically will be rejected by the electronic trading system and the Person entering the rejected order will be notified. The order price filter is determined by the Bourse before the start of trading on every business day based upon the previous day s settlement price and may be adjusted at any time by the Market Supervisor acting in his or her discretion, upon his or her own initiative or upon request. Any changes in the level of the order price filter shall be broadcast to the market. The order price filter will not be re-adjusted intra-session for trading sessions during which the underlying exchange-traded products are not open for trading.

52 6393A Other Trading Price Limits ( , abr ) A range of trading price limits (up and down) will also be established in trading sessions during which the underlying exchange-traded products are not open for trading. Such a trading range will be established by the Bourse based on the previous day s settlement price at the beginning of that particular trading session and will not be readjusted intra-session. 6393A Other Trading Price Limits ( , abr )

53 Triggering of a Circuit-Breaker on the Underlying Interest Trading Halts ( , ) a) Trading halts on equity options, index options, exchange-traded funds or income trust units options shall be coordinated with the trading halt mechanism of, share futures contracts and stock index futures will automatically be halted upon notice to the Bourse from the Toronto Stock Exchange (TSX) that a single-stock or market-wide circuit breaker has been triggered or when IIROC imposes a regulatory trading halt in the security underlying interesta Listed Product traded on the Bourse. b) With respect to any Listed Product not within the scope of paragraph a) of this article, the Market Supervisor may halt trading on the Bourse in his or her sole discretion whenever and for such time as the exchange on which an instrument underlying a Listed Product halts trading in that instrument due to market volatility or otherwise.

54 Trading Halts ( , ) a) Trading on equity options, index options, exchange-traded funds, share futures contracts and stock index futures will automatically be halted upon notice to the Bourse from the Toronto Stock Exchange (TSX) that a single-stock or market-wide circuit breaker has been triggered or when IIROC imposes a regulatory trading halt in the security underlying a Listed Product traded on the Bourse. b) With respect to any Listed Product not within the scope of paragraph a) of this article, the Market Supervisor may halt trading on the Bourse in his or her sole discretion whenever and for such time as the exchange on which an instrument underlying a Listed Product halts trading in that instrument due to market volatility or otherwise.

55 6671 Exercise of Options and Delivery of Futures Contracts ( , , , ) Options shall be exercised by clearing members in accordance with the Byby-laws and Rrules and Ggeneral Cconditions of the designated Clearing Corporation. Options may be exercised only in a unit of trading or in an integral multiple thereof. The prohibition in article 6380a shall not apply to transactions made as a result of the exercise of an option or of a delivery pursuant to a futures contract.

56 6671 Exercise of Options and Delivery of Futures Contracts ( , , , ) Options shall be exercised by clearing members in accordance with the by-laws and rules and general conditions of the designated Clearing Corporation. Options may be exercised only in a unit of trading or in an integral multiple thereof. The prohibition in article 6380a shall not apply to transactions made as a result of the exercise of an option or of a delivery pursuant to a futures contract.

57 6815 Exchanges for Physicals (EFP) and Exchanges for Risk Transactions (EFRRelated Products (EFRP) ( , , , , , , , , , , , , ) Exchanges for physicals (EFP) or exchanges for risk (EFR) 1) EFRP transactions in general. Exchanges for Related Product ( EFRP ) transactions involving futures contracts listed and traded on the Bourse are permitted if such transactions are executed in accordance with the requirements of this article and of the procedures established by the Bourse. 1)Exchanges for physicals (EFP) a) An EFP may be concluded between two parties if one of the parties is the buyer of a physical or cash component that is acceptable to the Bourse for the purpose of the EFP transaction and the seller of the futures contract, and the other party is the seller of such physical or cash component and the buyer of the futures contract. An EFRP transaction is composed of the privately negotiated execution of a Bourse futures contract and the opposite, simultaneous execution of an approximately equivalent quantity or value of cash product, by-product, related product, or over-the-counter ( OTC ) derivative instrument underlying the futures contract. a) An EFRP transaction is permitted to be executed off of the Bourse s trading system pursuant to article 6380b if such transaction is conducted in accordance with each of the requirements and conditions of this article. b) The purchase and sale of the futures contract must be simultaneous with the sale and purchase of a corresponding quantity of the physical or cash component acceptable to the Bourse for the purpose of the EFP transaction. c) The physical or cash component of the EFP transaction must involve a physical or cash instrument that is related to and that has a reasonable price correlation with the underlying interest of the futures contract being exchanged or the futures contract itself where the use of the underlying interest is not practical. The quantity or value covered by the physical or cash component of the EFP transaction must be approximately equivalent to the quantity or value covered by the futures contract. 2)Exchange for Risk Transactions An exchange of a futures contract for an over-the-counter (OTC) derivative instrument and/or swap agreement (an Exchange for Risk (EFR) transaction) consists of two discrete, but related simultaneous transactions: a risk transaction and a futures contract transaction. At the time such transaction is effected, the parties to the futures contract transaction must be the same parties to the risk transaction and the buyer and the seller of the futures contract must be, respectively, the seller and the buyer of the OTC derivative instrument and/or swap agreement. The risk component of the EFR transaction must involve an OTC derivative instrument and/or

58 swap agreement that is related to and that has a reasonable price correlation with the underlying interest of the futures contract being exchanged or the futures contract itself where the use of the underlying interest is not practical. The quantity or value covered by the risk component of the EFR transaction must be approximately equivalent to the quantity or value covered by the futures contract. 3)General Provision a) EFP and EFR transactions must at all times be executed in accordance with such other procedures, terms and conditions that the Bourse may prescribe from time to time. b) The futures contracts that are eligible to EFP or EFR transactions, and the last day and time for executing such transactions shall be determined by the Bourse. c) The cash components acceptable for the purpose of an EFP transaction and the over the counter derivative instruments acceptable for the purpose of an EFR transaction are those specified in the procedures set by the Bourse. following separate types of transactions are referred to collectively as EFRP transaction under this article, and are included under, and subject to, its provisions: i)exchange for P hysical ( EFP ) the simultaneous execution of a Bourse futures contract and a corresponding spot or forward transaction. ii) Exchange f or Risk ( EF R ) the simultaneous execution of a Bourse futures contract and a corresponding OTC swap or other OTC derivative transaction. iii) Substitution for OTC Transaction ( Substitution ) the substitution of an OTC derivative instrument for futures contract. c) Each party to an EFRP transaction must be an accredited counterparty as defined in section 3 of the Quebec Derivatives Act, CQLR c I d) Each party to an EFP or EFR transaction must satisfy the Bourse, upon request, that the transaction is a bona fide EFP or EFR transaction. To this effect, parties to such a transaction must maintain and must provide to the Bourse upon request complete records and documentary evidence relating to such transaction including all records relating to the purchase or sale of securities, physical underlyings, sub-instruments of these physical underlyings, instruments related thereto or over the counter derivative instruments and to any transfer of funds or ownership made in connection with such transaction.the accounts involved on each side of an EFRP transaction must: e) It is prohibited for any party to an EFP or an EFR transaction to effect a transaction which is contrary to the requirements and practices prescribed by the rules, policies and procedures of the Bourse or to effect such a transaction for the sole purpose of reporting, registering or recording a price that is not a bona fide price or of making a transaction which is a "wash sale", an accommodation trade or a fictitious sale. f) An EFP or an EFR transaction may be made at such prices that are mutually agreed upon by the two parties to this transaction. However, the price at which the futures contract leg of the

59 transaction is arranged must be fair and reasonable in light of factors such as, but not limited to, the size of the transaction, the currently traded prices and bid and ask prices in the same contract at the relevant time, the volatility and liquidity of the relevant market as well as the general market conditions. g) Each EFP or EFR transaction must be reported to the Bourse in accordance with the procedures set by the Bourse. Such report must be in the form prescribed by the Bourse and must contain all the information required on such prescribed form. h) Each EFP or EFR transaction executed during the trading hours of the futures contract to which the transaction applies must be reported to the Bourse within one hour upon determination of all the relevant terms of the trade. Each EFP or EFR transaction executed after the trading hours of the futures contract to which the transaction applies must be reported to the Bourse no later than 10:00 a.m. (Montréal time) on the next trading day following the execution of the transaction. i) The accounts involved on each side of an EFP or EFR transaction must satisfy at least one of the following conditions: I) they i) have different beneficial ownership; ii) they have the same beneficial ownership, but are under separate control; iii) thehave accounts that are commonly controlled, but involve separate legal entities which may or may not have the same beneficial ownership.; or In cases where(iv) when the parties to an EFP or EFREFRP transaction involve the same legal entity, same beneficial ownership, or separate legal entities under common control, the parties must be able to demonstrate that the exchange transaction was a legitimate arms-length transaction. j) It is strictly prohibited for any party, for both the buyer and the seller, to enter into an EFP or EFR transaction to circumvent the contract month roll in the corresponding security or derivative instrument. e) The cash market instrument leg of the EFRP transaction must provide for, and result in, the transfer of ownership of the cash market instrument within the time customary in the applicable cash market or in OTC practice. If the seller does not have actual possession of the cash market or OTC derivative instrument before execution of the EFRP, the seller must be able to demonstrate an ability to satisfy the delivery requirement. f) With regard to the futures leg of an EFRP, if the minimum price fluctuation of transactions in the futures contract vary by strategy or otherwise, such as variation in the minimum price fluctuation for equity index futures contracts between outright and calendar spread transactions, the minimum price fluctuation of the EFRP futures component shall be the lowest minimum price fluctuation provided for in the Rules with regard to the futures contract. g) The Approved Participants involved in an EFRP, upon request by the Bourse, must be able to demonstrate that:

60 i) the related futures and cash or OTC position are reasonably correlated, with a correlation of R=0.70 or greater, calculated using any generally accepted methodology, for all EFRP transactions except as otherwise specifically provided, each such correlation based on daily price data for a period of at least six (6) months or weekly price data for a period of at least one (1) year; and ii) the quantity or value of the cash or OTC component of the EFRP transaction must be approximately equivalent to the quantity or value of the futures contract. h) The price at which an EFRP transaction is arranged must be fair and reasonable in light of (i) the size of the transaction; (ii) currently traded prices and bid and ask prices in the same contract (iii) the underlying markets; and (iv) general market conditions, all at the relevant time. Although there is no requirement for an EFRP to be executed within the daily high and low prices, execution outside of that price range may result in a request by the Regulatory Division for additional information about the transaction. i) It is prohibited to effect an EFRP transaction for the purpose of reporting, registering or recording anon-bona fide price or entering into a transaction which is a wash sale, an accommodation trade or a fictitious sale. j) Neither party to an EFRP transaction may enter into the transaction to circumvent the contract month roll in the corresponding security or derivative instrument. k) Reporting EFRP transactions. Approved Participants for both the seller and buyer must report within one hour upon determination of all the relevant terms of the transaction to the Market Operations Department on the Special Terms Transaction Reporting Form available at each EFRP transaction executed during the trading hours of the applicable futures contract. For those EFRP transactions executed after such trading hours, the transaction shall be reported to the Bourse no later than 10:00 a.m. (Montréal time) on the trading day following execution. The Market Operations Department will validate the details of the report before accepting the transaction (which is not a confirmation by the Bourse that the EFRP transaction has been effected in accordance with this article). l) Books and records. Each party to an EFRP transaction must maintain full and complete records and documentary evidence relating to the EFRP, including but not limited to all records relating to the purchase or sale of the cash market or OTC derivative component of the transaction and to any transfer of funds or ownership made in connection with such transaction. Such records include, but are not limited to, documentation customarily generated in accordance with market practice, such as cash account statements, trade confirmation statements, ISDA Master Agreements or other documents of title; third party documentation supporting proof of payment or transfer of title, such as canceled checks, bank statements; cash account statements and cash instruments clearing corporation documents. In addition, futures contracts order tickets (which must clearly indicate the time of execution of the EFRP transaction) must be maintained. Records related to the transaction must be provided to the Bourse upon request and it is the responsibility of the Approved Participant to obtain and provide on a timely basis records of their clients as requested by the Bourse.

61 2)EFPs a) EFP transactions on the following futures contracts and the related physical or cash instrument are recognized by the Bourse: Types of Futures Contracts Interest rates Futures Contracts Acceptable physical or cash instrument Fixed income instruments with a correlation coefficient (R) of 0.70 or more, calculated using any generally accepted methodology, maturities and risk characteristics that parallel the underlying instrument of the futures contracts or the futures contract itself where the use of the underlying instrument is not practical due to a lack of available market data, including but not limited to: Money market instruments including asset backed commercial paper, Government of Canada and Federal Crown Corporation fixed income instruments Provincials fixed income instruments, Investment grade corporates including Maple Bonds and mortgage instruments including collateralized mortgage obligations (CMOs), or Fixed income instruments denominated in the currency of a G7 member country Futures Contracts on S&P/TSX indices Futures Contracts on the FTSE Emerging Markets index Stock baskets reasonably correlated with the underlying index with a correlation coefficient (R) of 0.90 or more, calculated using any generally accepted methodology, having a weight of at least 50% of the underlying index or including at least 50% of the securities of the underlying index. The notional value of the basket must be fairly equal to the value of the futures contract component of the exchange transaction, or Exchange-traded funds that mirror the index futures contract Futures Contracts on Carbon dioxide Regulated emitters credits, and / or

62 equivalent (CO 2e) units Futures Contracts on Canadian crude oil offset credits in eligible Canadian CO2e units Domestic crude oil streams with not less than 2.5% nor more than 3.5% sulfur by weight, not less than 19 API gravity nor more than 22 API gravity, such as. Western Canadian Select, Western Canadian Blend, Lloyd Blend, Bow River, Cold Lake Blend and Wabasca. Share Futures Contracts Underlying stock of the futures contract 3)EFRs a) EFR transactions on the following futures contracts and the related OTC derivative instrument are recognized by the Bourse: Types of Futures Contracts Bonds Futures Contracts Acceptable Over-the-Counter Derivative Instrument i)interest Rate Swaps with the following characteristics: Plain vanilla; Written under the terms of an ISDA Master Agreement, Regular fixed against floating rate payments, Denominated in currency of G7 country, and Correlation R= 0.70 or greater, calculated using any generally accepted methodology. Or ii) Any individual or combination of OTC bond, interest rate swap or FRA options (e.g. caps, floors, collars). Short-term interest rate Futures Contracts i) Any OTC swap or options with characteristics noted above with respect to EFR for bonds;

63 Or ii) Forward Rate Agreements (FRAs) with the following characteristics: Conventional FRA, Written under the terms of an ISDA MasterAgreement, Predetermined interest rate, Agreed start/end date, and Defined interest (repo) rate. Stock index Futures Contracts i)index Swaps with the following characteristics: Plain vanilla swap, Written under the terms of an ISDA Master Agreement, Regular fixed against floating rate payments against the positive or negative performance of a stock, exchange-traded fund (ETF), basket of securities or a stock index, Denominated in currency of G7 country, and Correlation R= 0.90 or greater, using a generally accepted methodology; Or ii) Any individual or combination of OTC stock index option positions; Or iii)index Forwards: Standard equity forward contract between two counterparties to buy a specific quantity of a stock, exchange-traded fund (ETF), basket of securities or stock index at a predetermined price for settlement at a future date. Shares Futures Contracts i) Equity Swaps with the following characteristics: Plain vanilla swap,

64 Written under the terms of an ISDA Master Agreement, Regular fixed against floating rate payments against the positive or negative performance of a stock, exchange-traded fund (ETF), basket of securities or a stock index, Denominated in currency of G7 country; Or ii) Any individual or combination of OTC equity option positions; Or iii)equity Forwards: Standard equity forward contract between two counterparties to buy a specific quantity of a stock, exchange-traded fund (ETF), basket of securities or stock index at a predetermined price for settlement at a future date. Commodities Futures Contracts i) Commodities Swaps or Forwards with the following characteristics: Written under the terms of an ISDA Master Agreement, Correlation R = 0.80 or greater, calculated using any generally accepted methodology. 4)Substitution for OTC a) Substitution transactions on the following futures contracts and the related OTC derivative instrument are recognized by the Bourse: Futures Contracts on: Carbon dioxide equivalent (CO2e) Acceptable Over-the-Counter Derivative Instrument: Any swap on Carbon dioxide equivalent (CO2e) units, and Correlation R=0.80.

65 6815 Exchanges for Related Products (EFRP) ( , , , , , , , , , , , , ) 1) EFRP transactions in general. Exchanges for Related Product ( EFRP ) transactions involving futures contracts listed and traded on the Bourse are permitted if such transactions are executed in accordance with the requirements of this article. An EFRP transaction is composed of the privately negotiated execution of a Bourse futures contract and the opposite, simultaneous execution of an approximately equivalent quantity or value of cash product, by-product, related product, or over-the-counter ( OTC ) derivative instrument underlying the futures contract. a) An EFRP transaction is permitted to be executed off of the Bourse s trading system pursuant to article 6380b if such transaction is conducted in accordance with each of the requirements and conditions of this article. b) The following separate types of transactions are referred to collectively as EFRP transaction under this article, and are included under, and subject to, its provisions: i) Exchange for Physical ( EFP ) the simultaneous execution of a Bourse futures contract and a corresponding spot or forward transaction. ii) Exchange for Risk ( EFR ) the simultaneous execution of a Bourse futures contract and a corresponding OTC swap or other OTC derivative transaction. iii) Substitution for OTC Transaction ( Substitution ) the substitution of an OTC derivative instrument for futures contract. c) Each party to an EFRP transaction must be an accredited counterparty as defined in section 3 of the Quebec Derivatives Act, CQLR c I d) The accounts involved on each side of an EFRP transaction must: i) have different beneficial ownership; ii) have the same beneficial ownership, but are under separate control; iii) have accounts that are commonly controlled, but involve separate legal entities which may or may not have the same beneficial ownership; or (iv) when the parties to an EFRP transaction involve the same legal entity, same beneficial ownership, or separate legal entities under common control, the parties must be able to demonstrate that the exchange transaction was a legitimate arms-length transaction. e) The cash market instrument leg of the EFRP transaction must provide for, and result in, the transfer of ownership of the cash market instrument within the time customary in the applicable cash market or in OTC practice. If the seller does not have actual possession of the cash market or OTC derivative instrument before execution of the EFRP, the seller must be able to demonstrate an ability to satisfy the delivery requirement.

66 f) With regard to the futures leg of an EFRP, if the minimum price fluctuation of transactions in the futures contract vary by strategy or otherwise, such as variation in the minimum price fluctuation for equity index futures contracts between outright and calendar spread transactions, the minimum price fluctuation of the EFRP futures component shall be the lowest minimum price fluctuation provided for in the Rules with regard to the futures contract. g) The Approved Participants involved in an EFRP, upon request by the Bourse, must be able to demonstrate that: i) the related futures and cash or OTC position are reasonably correlated, with a correlation of R=0.70 or greater, calculated using any generally accepted methodology, for all EFRP transactions except as otherwise specifically provided, each such correlation based on daily price data for a period of at least six (6) months or weekly price data for a period of at least one (1) year; and ii) the quantity or value of the cash or OTC component of the EFRP transaction must be approximately equivalent to the quantity or value of the futures contract. h) The price at which an EFRP transaction is arranged must be fair and reasonable in light of (i) the size of the transaction; (ii) currently traded prices and bid and ask prices in the same contract (iii) the underlying markets; and (iv) general market conditions, all at the relevant time. Although there is no requirement for an EFRP to be executed within the daily high and low prices, execution outside of that price range may result in a request by the Regulatory Division for additional information about the transaction. i) It is prohibited to effect an EFRP transaction for the purpose of reporting, registering or recording anon-bona fide price or entering into a transaction which is a wash sale, an accommodation trade or a fictitious sale. j) Neither party to an EFRP transaction may enter into the transaction to circumvent the contract month roll in the corresponding security or derivative instrument. k) Reporting EFRP transactions. Approved Participants for both the seller and buyer must report within one hour upon determination of all the relevant terms of the transaction to the Market Operations Department on the Special Terms Transaction Reporting Form available at each EFRP transaction executed during the trading hours of the applicable futures contract. For those EFRP transactions executed after such trading hours, the transaction shall be reported to the Bourse no later than 10:00 a.m. (Montréal time) on the trading day following execution. The Market Operations Department will validate the details of the report before accepting the transaction (which is not a confirmation by the Bourse that the EFRP transaction has been effected in accordance with this article). l) Books and records. Each party to an EFRP transaction must maintain full and complete records and documentary evidence relating to the EFRP, including but not limited to all records relating to the purchase or sale of the cash market or OTC derivative component of the transaction and to any transfer of funds or ownership made in connection with such transaction. Such records include, but are not limited to, documentation customarily generated in accordance with market practice, such as cash account statements, trade

67 2) EFPs confirmation statements, ISDA Master Agreements or other documents of title; third party documentation supporting proof of payment or transfer of title, such as canceled checks, bank statements; cash account statements and cash instruments clearing corporation documents. In addition, futures contracts order tickets (which must clearly indicate the time of execution of the EFRP transaction) must be maintained. Records related to the transaction must be provided to the Bourse upon request and it is the responsibility of the Approved Participant to obtain and provide on a timely basis records of their clients as requested by the Bourse. a) EFP transactions on the following futures contracts and the related physical or cash instrument are recognized by the Bourse: Types of Futures Contracts Interest rates Futures Contracts Acceptable physical or cash instrument Fixed income instruments with a correlation coefficient (R) of 0.70 or more, calculated using any generally accepted methodology, maturities and risk characteristics that parallel the underlying instrument of the futures contracts or the futures contract itself where the use of the underlying instrument is not practical due to a lack of available market data, including but not limited to: Money market instruments including asset backed commercial paper, Government of Canada and Federal Crown Corporation fixed income instruments Provincials fixed income instruments, Investment grade corporates including Maple Bonds and mortgage instruments including collateralized mortgage obligations (CMOs), or Fixed income instruments denominated in the currency of a G7 member country Futures Contracts on S&P/TSX indices Futures Contracts on the FTSE Emerging Markets index Stock baskets reasonably correlated with the underlying index with a correlation coefficient (R) of 0.90 or more, calculated using any generally accepted methodology, having a weight of at least 50% of the underlying index or including at least 50% of the securities of the underlying index. The notional value of the basket must be fairly equal

68 to the value of the futures contract component of the exchange transaction, or Exchange-traded funds that mirror the index futures contract Futures Contracts on Carbon dioxide equivalent (CO 2e) units Regulated emitters credits, and / or offset credits in eligible Canadian CO2e units Futures Contracts on Canadian crude oil Domestic crude oil streams with not less than 2.5% nor more than 3.5% sulfur by weight, not less than 19 API gravity nor more than 22 API gravity, such as. Western Canadian Select, Western Canadian Blend, Lloyd Blend, Bow River, Cold Lake Blend and Wabasca. Share Futures Contracts Underlying stock of the futures contract 3) EFRs a) EFR transactions on the following futures contracts and the related OTC derivative instrument are recognized by the Bourse: Types of Futures Contracts Bonds Futures Contracts Acceptable Over-the-Counter Derivative Instrument i) Interest Rate Swaps with the following characteristics: Plain vanilla; Written under the terms of an ISDA Master Agreement, Regular fixed against floating rate payments, Denominated in currency of G7 country, and Correlation R= 0.70 or greater, calculated using any generally accepted methodology. Or

69 ii) Any individual or combination of OTC bond, interest rate swap or FRA options (e.g. caps, floors, collars). Short-term interest rate Futures Contracts i) Any OTC swap or options with characteristics noted above with respect to EFR for bonds; Or ii) ) Forward Rate Agreements (FRAs) with the following characteristics: Conventional FRA, Written under the terms of an ISDA MasterAgreement, Predetermined interest rate, Agreed start/end date, and Defined interest (repo) rate. Stock index Futures Contracts i) Index Swaps with the following characteristics: Plain vanilla swap, Written under the terms of an ISDA Master Agreement, Regular fixed against floating rate payments against the positive or negative performance of a stock, exchange-traded fund (ETF), basket of securities or a stock index, Denominated in currency of G7 country, and Correlation R= 0.90 or greater, using a generally accepted methodology; Or ii) Any individual or combination of OTC stock index option positions; Or iii) Index Forwards: Standard equity forward contract between two counterparties to buy a specific quantity of a stock,

70 exchange-traded fund (ETF), basket of securities or stock index at a predetermined price for settlement at a future date. Shares Futures Contracts i) Equity Swaps with the following characteristics: Plain vanilla swap, Written under the terms of an ISDA Master Agreement, Regular fixed against floating rate payments against the positive or negative performance of a stock, exchange-traded fund (ETF), basket of securities or a stock index, Denominated in currency of G7 country; Or ii) Any individual or combination of OTC equity option positions; Or iii) ) Equity Forwards: Standard equity forward contract between two counterparties to buy a specific quantity of a stock, exchange-traded fund (ETF), basket of securities or stock index at a predetermined price for settlement at a future date. Commodities Futures Contracts i) Commodities Swaps or Forwards with the following characteristics: Written under the terms of an ISDA Master Agreement, Correlation R = 0.80 or greater, calculated using any generally accepted methodology. 4) Substitution for OTC a) Substitution transactions on the following futures contracts and the related OTC derivative instrument are recognized by the Bourse:

71 Futures Contracts on: Acceptable Over-the-Counter Derivative Instrument: Carbon dioxide equivalent (CO2e) Any swap on Carbon dioxide equivalent (CO2e) units, and Correlation R=0.80.

72 6815A Substitution of over-the-counter derivative instruments for futures contracts ( , , abr ) a) Transactions allowing to substitute an over-the-counter derivative instrument and/or a swap agreement for futures contracts listed and traded on the Bourse are permitted if such transactions are executed in accordance with the requirements of this article and of the procedures established by the Bourse. b) A substitution of an over-the-counter (OTC) derivative instrument and/or swap agreement for futures contracts consists of two discrete transactions: a risk transaction and a futures contract transaction. At the time such transaction is effected, the parties to the futures contract transaction must be the same parties to the risk transaction and the buyer and the seller of the futures contract must be, respectively, the buyer and the seller of the OTC derivative instrument and/or swap agreement. The risk component of the substitution transaction must involve the interest underlying the futures contracts (or a derivative, by-product or related product of such underlying interest) and must have a reasonable price correlation with the underlying interest of the futures contract involved in the substitution transaction or the futures contract itself where the use of the underlying interest is not practical. The quantity or value covered by the risk component of the substitution of over-the-counter derivative instruments for futures contracts must be approximately equivalent to the quantity or value covered by the futures contract transaction. c) Substitution transactions involving over-the-counter derivative instruments must at all times be executed in accordance with such other procedures, terms and conditions that the Bourse may prescribe from time to time. d) The futures contracts that are eligible to substitution transactions, and the last day and time for executing such transactions shall be determined by the Bourse. e) The risk components acceptable for the purpose of a substitution transaction are those specified in the procedures set by the Bourse. f) Each party to a substitution transaction must satisfy the Bourse, upon request, that the transaction is a bona fide substitution transaction. To this effect, parties to such a transaction must maintain and must provide to the Bourse upon request complete records and documentary evidence relating to such transaction including all records relating to the purchase or sale of securities, physical underlyings, sub-instruments of these physical underlyings, instruments related thereto or over the counter derivative instruments and to any transfer of funds or ownership made in connection with such transaction. g) It is prohibited for any party to a substitution transaction to effect a transaction which is contrary to the requirements and practices prescribed by the rules, policies and procedures of the Bourse or to effect such a transaction for the sole purpose of reporting, registering or recording a price that is not a bona fide price or of making a transaction which is a "wash sale", an accommodation trade or a fictitious sale. h) A substitution transaction may be made at such prices that are mutually agreed upon by the two parties to this transaction. However, the price at which the futures contract leg of the

73 transaction is arranged must be fair and reasonable in light of factors such as, but not limited to, the size of the transaction, the currently traded prices and bid and ask prices in the same contract at the relevant time, the volatility and liquidity of the relevant market as well as the general market conditions. i) Each substitution transaction must be reported to the Bourse in accordance with the procedures set by the Bourse. Such report must be in the form prescribed by the Bourse and must contain all the information required on such prescribed form. j) Each substitution transaction executed during the usual trading hours of the futures contract to which the transaction applies must be immediately reported to the Bourse. Each substitution transaction executed after the usual trading hours of the futures contract to which the transaction applies must be reported to the Bourse no later than 10:00 a.m. (Montréal time) on the next trading day following the execution of the transaction. k) The accounts involved on each side of a substitution transaction must satisfy at least one of the following conditions: I) they have different beneficial ownership; II) iii) they have the same beneficial ownership, but are under separate control; the accounts are commonly controlled, but involve separate legal entities which may or may not have the same beneficial ownership. In cases where the parties to a substitution transaction involve the same legal entity, same beneficial ownership, or separate legal entities under common control, the parties must be able to demonstrate that the transaction was a legitimate arms-length transaction. l) It is strictly prohibited for any party, for both the buyer and the seller, to enter into a substitution transaction to circumvent the contract month roll in the corresponding security or derivative instrument.

74 6815A Substitution of over-the-counter derivative instruments for futures contracts ( , , abr )

75 6816 Off-Exchange Transfers of Existing Futures Contracts ( , , , ) a) Off-ExchangeNotwithstanding article 6380, off-exchange transfers of open futures contracts may be accomplished only if there is no change in the beneficial ownership of the futures contracts, the membersapproved Participants involved in the transfer are able to produce to the Bourse upon request, all orders, records and memoranda pertaining thereto and the transfer either i) is made at the request of the beneficial owner of the futures contracts from one memberapproved Participant to another; or ii) is made at the request of a memberapproved Participant to another memberapproved Participant; or iii) is made to correct an error in clearing; or iv) is made to correct an error in the recording of transactions in the members'approved Participants books. b) Both membersapproved Participants which are parties to an off-exchange transfer pursuant to this article shall complete and submit to the designated Clearing Corporation such information evidencing the terms of the off-exchange transfer as may be prescribed by the Clearing Corporation on the day on which such off-exchange transfer is affectedeffected. c) Notwithstanding the provisions of paragraph (a), a transfer of a position either on the books of an Approved Participant, or from one Approved Participant to another, may be permitted at the discretion of the Bourse if the transfer: i)is in connection with, or results from, a merger, asset purchase, consolidation or similar non-recurring transaction between two or more entities; or ii) involves a partnership, investment fund, or commodity pool and the purpose of the transfer is to facilitate a restructuring or consolidation of such partnership, investment fund, or pool, provided that the managing partner or pool operator remains the same, the transfer does not result in the liquidation of any open positions, and the pro rata allocation of interests in the consolidating account does not result in more than a de minimis change in the value of the interest of any party; or iii) is in the best interests of the markets and the situation so requires.

76 6816 Off-Exchange Transfers of Existing Futures Contracts ( , , , ) a) Notwithstanding article 6380, off-exchange transfers of open futures contracts may be accomplished only if there is no change in the beneficial ownership of the futures contracts, the Approved Participants involved in the transfer are able to produce to the Bourse upon request, all orders, records and memoranda pertaining thereto and the transfer either i) is made at the request of the beneficial owner of the futures contracts from one Approved Participant to another; or ii) is made at the request of a Approved Participant to another Approved Participant; or iii) is made to correct an error in clearing; or iv) is made to correct an error in the recording of transactions in the Approved Participants books. b) Both Approved Participants which are parties to an off-exchange transfer pursuant to this article shall complete and submit to the designated Clearing Corporation such information evidencing the terms of the off-exchange transfer as may be prescribed by the Clearing Corporation on the day on which such transfer is effected. c) Notwithstanding the provisions of paragraph (a), a transfer of a position either on the books of an Approved Participant, or from one Approved Participant to another, may be permitted at the discretion of the Bourse if the transfer: i) is in connection with, or results from, a merger, asset purchase, consolidation or similar non-recurring transaction between two or more entities; or ii) ) involves a partnership, investment fund, or commodity pool and the purpose of the transfer is to facilitate a restructuring or consolidation of such partnership, investment fund, or pool, provided that the managing partner or pool operator remains the same, the transfer does not result in the liquidation of any open positions, and the pro rata allocation of interests in the consolidating account does not result in more than a de minimis change in the value of the interest of any party; or iii) is in the best interests of the markets and the situation so requires.

77 PROCEDURES FOR THE EXECUTION OF BLOCK TRADES 1.Block Trades a) Once a block trade has been arranged, in accordance with the predetermined minimum volume threshold level as determined and published by the Bourse, details of the block trade must be reported to the Bourse by contacting a market official of the Bourse s Market Operations Department at or at within the period of time prescribed by the Bourse. b) Approved participants for both the seller and buyer must complete and electronically submit the Block Trade Reporting Form, available on the Bourse s web site at to the Bourse s Market Operations Department for validation. c) A market official will check the validity of the block trade details submitted by the approved participant(s). d) Confirmation by a market official of a block trade transaction will not preclude the Bourse from initiating disciplinary procedures in the event that the transaction is subsequently found to have been made other than in compliance with the rules. e) Once the block trade has been validated and processed, the following information with respect to the block trade will be disseminated by the Bourse: i) date and time of transaction; ii) security(ies) or derivative instrument(s) and contract month(s); iii) price of each contract month(s) and strike price(s) (as applicable); and iv) volume of each contract month. f) Upon the Bourse s request, the approved participant who arranges a block trade must provide satisfactory evidence that the block trade has been arranged in accordance with the Rules of the Bourse. Failure to provide satisfactory evidence of compliance with these Rules may result in the initiation of disciplinary action

78 In accordance with article ) of the Rules of the Bourse, the following are the eligible securities and derivative instruments, the relevant prescribed time delays and the minimum volume thresholds for the execution of block trades. Table 1: Prescribed time delays and minimum volume thresholds for eligible securities and derivative instruments for the execution of block trades ELIGIBLE SECURITIES AND DERIVATIVE INSTRUMENTS 30-Day Overnight Repo Rate Futures Contracts (ONX) PRESCRIBED TIME MINIMUM VOLUME DELAY THRESHOLD (As soon as practicable and in any event within the following time delay) 15 minutes 1,000 contracts Overnight Index Swap Futures Contracts (OIS) Ten-Year Government of Canada Bond Futures Contracts (CGB) Two-Year Government of Canada Bond Futures Contracts (CGZ) 30-Year Government of Canada Bond Futures Contracts (LGB) Five-Year Government of Canada Bond Futures Contracts (CGF) Options on Three-Month Canadian Bankers Acceptance Futures Contracts Canadian Crude Oil Futures Contracts Futures contracts on the FTSE Emerging Markets Index 15 minutes 200 contracts 15 minutes 1,500 contracts 15 minutes 500 contracts 15 minutes 500 contracts 15 minutes 500 contracts 15 minutes 2,000 contracts 15 minutes 100 contracts 15 minutes 100 contracts Three-Month Canadian Bankers Acceptance Futures Contracts quarterlies five through eight (BAX Reds) Three-Month Canadian Bankers Acceptance Futures Contracts quarterlies nine through twelve (BAX Greens) 15 minutes 1,000 contracts 15 minutes 500 contracts

79 2. Block trades priced at a basis to the index close (BIC) a) Once a BIC has been arranged, in accordance with the predetermined minimum volume threshold level as determined and published by the Bourse, details of the BIC must be reported to the Bourse by contacting a market official of the Bourse s Market Operations Department at or at within the period of time prescribed by the Bourse. Approved participants for both the seller and buyer must subsequently complete and submit a Block Trade Reporting Form as stipulated above, specifying the agreed-upon basis in lieu of the price. The Bourse will disseminate the relevant information through its website at b) Approved participants for both the seller and buyer must also complete and submit a second Block Trade Reporting Form to the Bourse s Market Operations Department once the closing price of the relevant index has been published. c) In addition to the agreed-upon basis, this second form must specify both the closing level of the index and the price of the BIC to the nearest 0.01 index point increment. The Bourse will disseminate the relevant information both through its website at and also through its High Speed Vendor Feed. In accordance with article ) of the Rules of the Bourse, the following are the eligible securities and derivative instruments, the relevant prescribed time delays, the minimum volume thresholds and the second Block Trade Reporting Form filing requirements for the BIC. Table 2: Prescribed time delays, minimum volume thresholds and second Block Trade Reporting Form filing requirements for eligible securities and derivative instruments for the execution of block trades priced at a basis to the index close (BIC) ELIGIBLE SECURITIES AND DERIVATIVE INSTRUMENTS Futures contracts on the FTSE Emerging Markets Index PRESCRIBED TIME DELAY (As soon as practicable and in any event within the following time delay) MINIMUM VOLUME THRESHOLD FILING OF SECOND BLOCK TRADE REPORTING FORM 15 minutes 100 contracts After 9:30 p.m. GMT on the next trading day Futures contracts on S&P/TSX indices and sectorial indices 15 minutes 100 contracts After 4:00 p.m. ET on the same trading day

80 Disclaimer: Bourse de Montréal Inc. has entered into a licence agreement with FTSE to be permitted to use the FTSE Emerging Markets Index that FTSE owns rights in, in connection with the listing, trading and marketing of derivative products linked to the FTSE Emerging Markets Index. The FTSE Emerging Markets Index Futures are not in any way sponsored, endorsed, sold or promoted by FTSE or its licensors and neither FTSE nor any of its licensors: (a) assume any liability or obligations in connection with the trading of any contract based on the FTSE Emerging Markets Index; or (b) accept any responsibility for any losses, expenses or damages arising in connection with the trading of any contract linked to the FTSE Emerging Markets Index. FTSE is a trademark of the London Stock Exchange Group companies. FTSE MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, COMPLETENESS, MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE OR THE RESULTS TO BE OBTAINED BY ANY PERSON OR ANY ENTITY FROM THE USE OF THE FTSE EMERGING MARKETS INDEX, ANY INTRADAY PROXY RELATED THERETO OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE TRADING OF ANY CONTRACTS, OR FOR ANY OTHER USE. Neither FTSE nor its licensors have provided or will provide any financial or investment advice or recommendation in relation to the FTSE emerging Markets Index to Bourse de Montréal Inc. or its clients. The Index is calculated by FTSE or its agent and all rights in the Index vest in FTSE. Neither FTSE nor its licensors shall be (a) liable (whether in negligence or otherwise) to any person for any error in the Index or (b) under any obligation to advise any person of any error therein. Disclaimer: Bourse de Montréal Inc. does not: (a) assume any liability or obligations in connection with the trading of any contract based on the FTSE Emerging Markets Index; or (b) accept any responsibility for any losses, expenses or damages arising in connection with the trading of any contract linked to the FTSE Emerging Markets Index except as provided in Rule 2511 the Bourse de Montréal Inc. Rules. BOURSE DE MONTRÉAL INC. MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, COMPLETENESS, MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE OR THE RESULTS TO BE OBTAINED BY ANY PERSON OR ANY ENTITY FROM THE USE OF THE FTSE EMERGING MARKETS INDEX, ANY INTRADAY PROXY RELATED THERETO OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE TRADING OF ANY CONTRACTS, OR FOR ANY OTHER USE. Standard and Poor s, a division of The McGraw-Hill Companies, Inc. (S&P), licenses Bourse de Montréal Inc. to use various S&P TSX indices («indices») in connection with the trading of futures exchange-traded contracts and options on futures exchange-traded contracts and options exchange-traded contracts based upon such indices. S&P, its affiliates and their third party licensors shall have no liability for any damages, claims, losses or expenses caused by any errors, omissions or delays in calculating or disseminating the indices. S&P, its affiliates and their third party licensors make no representation or warranty regarding the advisability of investing in securities generally or the ability of any of the indices to track general stock market performance. S&P, its affiliates and their third party licensors have no obligation to take the needs of the traders of futures exchange-traded

81 contracts, options on futures exchange-traded contracts, options exchange-traded contracts in determining, composing or calculating the indices. Neither S&P, its affiliates nor their third party licensors guarantee the adequacy, accuracy timeliness, or completeness of the indices or any data included therein or any communications, including, but not limited to, oral or written communications (including electronic communications) with respect thereto. S&P, its affiliates and their third party licensors shall not be subject to any damages or liability for any errors, omissions or delays in calculating or disseminating the indices. Neither S&P, its affiliates nor their third party licensors make any representation, warranty, express or implied, as to the results to be obtained by any person or any entity from the use of the indices or any data included therein in connection with the trading of futures exchange-traded contracts, options on futures exchange-traded contracts, options exchange-traded contracts, or any other use. S&P, its affiliates and their third party licensors make no express or implied warranties, and expressly disclaim all warranties of merchantability or fitness for a particular purpose or use with respect to the indices or any data included therein. Without limiting any of the foregoing, in no event shall S&P, its affiliates or their third party licensors be liable for any indirect, special, incidental, punitive or consequential damages (including, but not limited to, loss of profits, trading losses, lost time or good will), even if they have been advised of the possibility of such damages, and irrespective of the cause of action, whether in contract, tort, strict liability or otherwise. The S&P marks are trademarks of the McGraw-Hill Companies, Inc. and have been licensed for use by Bourse de Montréal Inc. The TSX marks are trademarks of the TSX Inc. and have been licensed for use by Bourse de Montréal Inc

82 PROCEDURES FOR THE CANCELLATION OR ADJUSTMENT OF TRADES 1.APPLICABLE RULES The procedures herein are consistent with and refer to the following Rule Six articles of the Bourse: Validation, Alteration or Cancellation of a Trade Cancellation of Trades Acceptable Market Price Decision by the Market Supervisor of the Bourse Delays of Decision and Notifications 2.SUMMARY OF THE RELATED RULES In order to maintain a fair and equitable market, trades may be cancelled by the Bourse if such transactions are detrimental to the normal operation or quality of the market or in any other circumstance deemed appropriate considering market conditions at the time of the trade or if the parties involved in the trade agree to the cancellation. 3.OBJECTIVE The objective of the procedures described herein is: To ensure that all transactions are executed at a price coherent with prevailing market conditions (integrity) and to ensure that input errors can be corrected. 4. LIMITATIONS FOR TRADING SESSIONS DURING WHICH THE UNDERLYING IS NOT OPEN FOR TRADING The present procedures have a limited application in the case of trading sessions during which the underlying exchange-traded products are not open for trading. 4.1 ORDER ENTRY ERROR TRADES During such trading sessions, the Market Operations Department of the Bourse ( Market Operations ) will not establish a No Cancel Range. As a result, during such trading sessions, no trade shall be adjusted by the Market Operations and all trades will stand at the traded price level unless one of the parties to the trade reports an order entry error ( error trade ) and both parties consent to cancel the resulting trade. Therefore, an error trade identified as such by a party to the trade and which both parties consent to cancel shall be cancelled by the Market Operations. The Market Operations shall proceed with the agreed upon cancellation of the error trade within the 15 minutes that follow the execution of the trade as prescribed by article 6381 of the Rules of the Bourse Page 1 of 8

83 4.2 TRADING RANGE The Bourse will establish a trading range based on the previous day s settlement price for trading sessions where the underlying exchange-traded instruments are not open for trading. For that given session, trading will only be allowed within the trading range. Orders outside of the trading range will not be accepted by the system. Should either the high or the low of the trading range be reached, trading will only be allowed at that limit level until the market re-aligns itself back within the trading range. 4.3 EARLY SESSION NO CANCEL RANGE Notwithstanding Section 4.1, during early sessions, the last traded price registered in the underlying security during that session on a Recognized Exchange or an Alternative Trading System as this term is defined in Regulation Respecting Marketplace Operation ( Canadian ATS ) shall be used to determine the No Cancel Range. If the Market Supervisor determines that the price of the trade executed during the early session was inside the No Cancel Range, the Market Supervisor will take the appropriate measures in accordance with Section 5.4. If the Market Supervisor determines that the price of the trade executed during the early session was outside the No Cancel Range, the Market Supervisor will take the appropriate measures in accordance with Section DESCRIPTION FOR TRADING SESSIONS DURING WHICH THE UNDERLYING IS OPEN FOR TRADING OR WHOSE VALUE IS READILY AVAILABLE 5.1 DETECTION AND DELAYS a)trades Resulting from an Order Entry Error Approved participants have the responsibility to report trades resulting from an error trade to the Market Operations without delay. As soon as an error trade resulting from an order entry error is identified by the approved participant, the approved participant must request an adjustment or cancellation of the error trade from a Market Supervisor of the Bourse by calling the Market Operations Department of the Bourse at or If the Market Supervisor determines that the price of the error trade was inside the No Cancel Range, the Market Supervisor will take the appropriate measures in accordance with Section 5.4. If the Market Supervisor determines that the price of the error trade was outside the No Cancel Range, the Market Supervisor will take the appropriate measures in accordance with Section 5.5. b)transactions Detrimental to the Normal Operation or Quality of the Market If the Market Operations identifies transactions that are deemed detrimental to the normal operation or quality of the market, market supervisors can adjust or cancel the transaction. For the purpose of the present procedures, trades executed at a price outside the No Cancel Range shall be deemed transactions detrimental to the normal operation or quality of the market. If the Market Supervisor determines that a transaction detrimental to the normal operation or quality of the market has occurred, the Market Supervisor will take the appropriate measures in accordance with Section Page 2 of 8

84 5.2 IMPLIED STRATEGY ORDERS Regular orders : Orders routed by approved participants to the Montréal Exchange trading system. Implied orders : Orders generated by the implied pricing algorithm (using regular orders) and registered in the order book by the trading engine. Implied strategy orders : Orders generated by the implied pricing algorithm composed of regular orders, one order for each individual leg. Regular strategy orders : Orders routed by approved participants to the Montréal Exchange trading system on instruments composed of two or more legs. A strategy trade resulting from an implied strategy order is in reality composed of two or more separate regular orders, one order for each individual leg. For the purposes of this procedure, if an error trade occurs on an implied strategy order, the strategy trade will be deemed to have been executed using separate regular orders for each individual leg. As a result, the prescribed increment utilized to establish the No Cancel Range to adjust an error strategy trade resulting from an implied strategy order will be at least the increment on one of the individual legs and at the most, the sum of each individual legs increments. 5.3 VALIDATION NO CANCEL RANGE The No Cancel Range is defined as the price interval within which a trade shall not be cancelled outright or adjusted by the Market Operations. To establish the No Cancel Range, Market Supervisors: Determine, in accordance with article 6383 of the Rules, what was the acceptable market price for the derivative instrument before the trade occurred. In making that determination, the Market Supervisor will consider all relevant information, including the last trade price, a better bid or offer, a more recent price for a related derivative instrument (for example a different expiry month) and the prices of similar derivative instruments trading on other markets; Apply (add and deduct) the following increments to the acceptable market price: DERIVATIVE INSTRUMENT Three-Month Canadian Banker s Acceptance Futures BAX (all quarterly and serial months) Three-Month Canadian Banker s Acceptance Futures BAX Strategies: -Regular strategy orders -Implied strategy orders Options on Three-Month Canadian Banker s Acceptance Futures 5 basis points INCREMENT 5 basis points Sum of the strategy s individual legs increments. 5 basis points Page 3 of 8

85 DERIVATIVE INSTRUMENT Two-Year Government of Canada Bond Futures (CGZ) -Regular strategy orders -Implied Strategy orders Five-Year Government of Canada Bond Futures (CGF) -Regular strategy orders -Implied Strategy orders Ten-Year Government of Canada Bond Futures (CGB) - Regular strategy orders 30-Year Government of Canada Bond Futures (LGB) -Regular strategy orders -Implied Strategy orders Options on Government of Canada Bond Futures Futures Contracts on S&P/TSX Indices and on the FTSE Emerging Markets Index - Regular strategy orders 30-Day Overnight Repo Rate Futures Regular strategy orders Overnight Index Swap Futures Overnight Index Swap Futures OIS Strategies: -Regular strategy orders -Implied strategy orders Futures and Options on Futures Inter-Group Strategies: -Regular strategy orders - Implied Strategy orders Equity, Currency, ETF and Index Options Price ranges: $0.00 to $5.00 $5.01 to $10.00 $10.01 to $20.00 Equity, Currency, ETF and Index Options Strategies: -Regular strategy orders -Implied strategy orders $20.00 up Sponsored Options Price ranges: $0.001 to $0.99 $1.00 up INCREMENT 20 basis points 20 basis points Sum of strategy s individual legs increments 20 basis points 20 basis points Sum of strategy s individual legs increments 40 basis points 20 basis points 40 basis points 40 basis points Sum of strategy s individual legs increments 40 basis points 1% of the acceptable market price of these futures contracts 5% of the increments for the outright month 5 basis points 5 basis points 5 basis points 5 basis points Sum of the strategy s individual legs increments. Sum of strategy s individual legs increments $0.10 $0.25 $0.50 $0.75 Sum of the strategy s individual legs increments $0.25 $ Page 4 of 8

86 DERIVATIVE INSTRUMENT Canadian Share Futures Contracts Regular and extended sessions: Early session: Futures Contracts on Canadian Crude Oil INCREMENT $, if the acceptable market price of these futures contracts is less than 25$; $, if the acceptable market price of these futures contracts is equal to or higher than 25$ but less than 100$; 3.1% of the acceptable market price of these futures contracts if the acceptable market price of these futures contracts is equal to or higher than 100$. 5% of the acceptable market price of these futures contracts 5% of the acceptable market price of these futures contracts. 5.4 TRADE PRICE INSIDE THE NO CANCEL RANGE If the Market Supervisor determines that the price of the reported error trade was inside the No Cancel Range, then the trade will be maintained and no further action will be taken unless both parties to the error trade agree to the cancellation. Error trades that both parties have agreed to cancel, can be cancelled within the trading session (early, regular or extended) during which they have occurred. The Market Operations shall proceed with the agreed upon cancellation of the error trade within the 15 minutes that follow the execution of the trade as prescribed by article 6381 of the Rules of the Bourse. 5.5 TRADE PRICE OUTSIDE THE NO CANCEL RANGE When a trade with an execution price outside the No Cancel Range is reported to Market Operations as an error, or otherwise detected by Market Operations, the Market Supervisor will determine whether the trade price is within or outside the No Cancel Range for the particular derivative instrument. If the Market Supervisor determines that the price of the trade is outside the No Cancel Range, then the Market Supervisor will endeavor to contact all parties involved in the transaction to advise them of the situation. a)general Rule The trade with an execution price that falls outside the No Cancel Range shall be adjusted by the Market Operations to the limit of the No Cancel Range Page 5 of 8

87 The Market Operations will adjust error trades in the best interests of the market and the participants.the main objective when adjusting error trades is to minimize the impact for all market participants involved in the error trades and more particularly those who had a regular order in the order book. b)exceptions However, in the following circumstances, the trade will be cancelled by Market Operations: 1. Both parties to the trade can be contacted within a reasonable delay and agree to the cancellation of the trade. 2. Neither party to the trade is either an approved participant or the registered holder of a SAM ID. c) Implied Orders Under the General Rule, the trades with an execution price that falls outside the No Cancel Range and that have not been cancelled will be adjusted to the limit of the No Cancel Range. In such a case, if the trade involved a linked implied order(s), the initiator of the original error trade will be responsible for the trade resulting from the linked implied order(s). The initiator of the error may therefore end up being party to the trades resulting from the linked implied order(s). d) Decision A decision to cancel or adjust will be rendered by a Market Supervisor within 30 minutes following the communication of the error and cancellation request by one of the parties, or detection by Market Operations, in accordance with article 6385 of the Rules of the Bourse. 5.6 OTHER SITUATIONS JUSTIFYING THE CANCELLATION OF TRADES The Market Operations will review all circumstances surrounding a trade to determine whether the trade occurred in accordance with the rules of the Bourse. The factors that will be considered include, among other things, the market conditions immediately before and after the trade was executed; the volatility of the market; the prices of related instruments in other markets and the fact that one or many parties to the transaction consider that it was executed at a valid price. In the case of a system failure, it is possible that the Bourse s automated trading system will freeze with orders queuing and waiting to be processed. Once the problem is resolved, the market will be placed into a pre-opening phase during which trading in each derivative instrument will be halted in order to modify the opening time parameters. This pre-opening phase will allow market participants to modify orders and will ensure that the system failure does not impact the integrity of the market. Nevertheless, when the system is not frozen, pending orders could be executed before the Bourse can halt the derivative instruments. In such circumstances, Market Supervisors may, in the best interest of the market and the participants, cancel trades resulting from such executions Page 6 of 8

88 In case an underlying instrument experiences excessive volatile price swings, the exchange on which the underlying instrument is listed may freeze the instrument and may adjust any trades that fall outside the context of the market. When Market Operations becomes aware of such a freeze, the Bourse will freeze the corresponding derivative instrument. If pending orders in the corresponding derivative instrument are executed before the Market Operations can manually freeze the derivative instrument the Market Operations will cancel trades resulting from such executions. 5.7 DECISION A decision to cancel or to refuse to cancel a transaction subject to Section 5.6 will be rendered by a Market Supervisor within 30 minutes following the cancellation request or detection by Market Operations, in accordance with article 6385 of the Rules of the Bourse. If the decision is to cancel the trade, the Market Supervisor will remove the trade from the records. Furthermore, if stop orders were triggered and therefore executed as a result of the cancelled trade, then these stop trades will also be cancelled and the stop orders will have to be re-instated in the order book by the initiators of such orders. Trade cancellation messages will be disseminated. When a trade is cancelled, if it originated from a regular order posted in the order book, the original price/time priority (FIFO) will not be maintained if the initiator of the original order wishes to re-instate his order after the cancellation. This cancelled order shall therefore be re-entered in the trading system by the initiator of the original order. This new order entry time will be the official entry time of the re-instated order. If the Market Supervisor s decision is to not cancel the trade, the parties to the trade can not themselves decide to cancel it by making a position transfer through the Canadian Derivatives Clearing Corporation Page 7 of 8

89 Disclaimer: Bourse de Montréal Inc. has entered into a licence agreement with FTSE to be permitted to use the FTSE Emerging Markets Index that FTSE owns rights in, in connection with the listing, trading and marketing of derivative products linked to the FTSE Emerging Markets Index. The FTSE Emerging Markets Index Futures are not in any way sponsored, endorsed, sold or promoted by FTSE or its licensors and neither FTSE nor any of its licensors: (a) assume any liability or obligations in connection with the trading of any contract based on the FTSE Emerging Markets Index; or (b) accept any responsibility for any losses, expenses or damages arising in connection with the trading of any contract linked to the FTSE Emerging Markets Index. FTSE is a trademark of the London Stock Exchange Group companies. FTSE MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, COMPLETENESS, MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE OR THE RESULTS TO BE OBTAINED BY ANY PERSON OR ANY ENTITY FROM THE USE OF THE FTSE EMERGING MARKETS INDEX, ANY INTRADAY PROXY RELATED THERETO OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE TRADING OF ANY CONTRACTS, OR FOR ANY OTHER USE. Neither FTSE nor its licensors have provided or will provide any financial or investment advice or recommendation in relation to the FTSE emerging Markets Index to Bourse de Montréal Inc. or its clients. The Index is calculated by FTSE or its agent and all rights in the Index vest in FTSE. Neither FTSE nor its licensors shall be (a) liable (whether in negligence or otherwise) to any person for any error in the Index or (b) under any obligation to advise any person of any error therein. Disclaimer: Bourse de Montréal Inc. does not: (a) assume any liability or obligations in connection with the trading of any contract based on the FTSE Emerging Markets Index; or (b) accept any responsibility for any losses, expenses or damages arising in connection with the trading of any contract linked to the FTSE Emerging Markets Index except as provided in Rule 2511 the Bourse de Montréal Inc. Rules. BOURSE DE MONTRÉAL INC. MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, COMPLETENESS, MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE OR THE RESULTS TO BE OBTAINED BY ANY PERSON OR ANY ENTITY FROM THE USE OF THE FTSE EMERGING MARKETS INDEX, ANY INTRADAY PROXY RELATED THERETO OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE TRADING OF ANY CONTRACTS, OR FOR ANY OTHER USE Page 8 of 8

90 PROCEDURES APPLICABLE TO THE EXECUTION OF CROSS TRANSACTIONS AND THE EXECUTION OF PREARRANGED TRANSACTIONS In accordance with the provisions of article 6380 of the Rules of Bourse de Montréal Inc. (the Bourse) regarding the execution of cross transactions and prearranged transactions, the following are the eligible products, the prescribed exposure time delays between the input of two orders and the minimum volume thresholds. Table 1: Prescribed time delays and minimum volume thresholds for eligible securities and derivative instruments PRESCRIBED MINIMUM VOLUME ELIGIBLE PRODUCTS TIME DELAY THRESHOLD Three-Month Canadian Bankers Acceptance Futures Contracts (BAX): 1 st four quarterly months not including serial months 5 seconds No threshold Remaining expiry months and strategies 15 seconds No threshold Thirty-Day Overnight Repo Rate Futures Contracts (ONX): Front month 5 seconds No threshold Remaining expiry months and strategies 15 seconds No threshold Overnight Index Swap (OIS): Front month 5 seconds No threshold Remaining expiry months and strategies 15 seconds No threshold Government of Canada Bond Futures Contracts: All expiry months and strategies 5 seconds No threshold Futures Contracts on S&P/TSX Indices: All expiry months 0 second 100 contracts All expiry months and strategies 5 seconds < 100 contracts Futures Contracts on the FTSE Emerging Markets Index: All expiry months 0 second 100 contracts All expiry months and strategies 5 seconds < 100 contracts Futures Contracts on Canada Carbon Dioxide Equivalent (CO 2e) Units: All expiry months and strategies 5 seconds No threshold Futures Contracts on Canadian Crude Oil: All expiry months and strategies 5 seconds No threshold Options on Three-Month Canadian Bankers Acceptance Futures Contracts: All expiry months and strategies 0 second 250 contracts All expiry months and strategies 5 seconds < 250 contracts Page 1 of 5

91 Options on Ten-Year Government of Canada Bond Futures Contracts (OGB): All expiry months and strategies 0 second 250 contracts All expiry months and strategies 5 seconds < 250 contracts Equity, ETF and Currency Options: All expiry months 0 second 100 contracts All expiry months 5 seconds < 100 contracts All UDS Strategies 5 seconds No Threshold Index Options: All expiry months 0 second 50 contracts All expiry months 5 seconds < 50 contracts All UDS Strategies 5 seconds No Threshold Canadian Share Futures Contracts: All expiry months and strategies 0 seconds 100 contracts All expiry months and strategies 5 seconds < 100 contracts Futures and Options on Futures Inter-Group Strategies All strategies 5 seconds No threshold In accordance with the provisions of article 6380 of the Rules of the Bourse, the following are the eligible products and the minimum quantity thresholds for the execution of cross transactions and prearranged transactions using committed orders. ELIGIBLE PRODUCTS FOR COMMITTED ORDERS Futures Contracts on S&P/TSX Indices Options on Three-Month Canadian Bankers Acceptance Futures Contracts Options on Ten-Year Government of Canada Bond Futures Contracts Equity, ETF and Currency Options Index Options Canadian Share Futures Contracts MINIMUM QUANTITY THRESHOLD 100 contracts 250 contracts 250 contracts 100 contracts 50 contracts 100 contracts Committed orders may not be used to execute cross or prearranged transactions on eligible products with a prescribed time delay or to execute strategies. Chronological priority of orders must be respected with regards to the posting of the originating order first, when executing a cross or prearranged transaction. The approved participant must ensure that all existing orders in the central order book, regardless of the type of orders, which are at limit prices better than or equal to the cross or prearranged transaction price are executed before completing such transaction. Cross transactions and prearranged transactions can only be executed in accordance with one of the following procedures: Page 2 of 5

92 1) Procedure for eligible products with a prescribed time delay An approved participant wishing to execute a cross or a prearranged transaction must enter the order into the trading system for the total intended transaction volume. The participant must then respect a delay equal to the prescribed time delay before executing an offsetting transaction on the residual volume. The residual volume is the portion of the original volume remaining after orders entered in the book with limit prices better than or equal to the intended transaction price have been filled. If no orders have been executed, the residual volume is equal to the original intended transaction volume. 2) Procedure for eligible products without a prescribed time delay for a volume equal to or greater than the minimum volume threshold If an approved participant has a cross or prearranged order between the bid and ask: the participant can use a specific system function to enter a zero-second cross; the participant can enter one side of the order and immediately trade against it if he wishes that the trade be executed directly on the market (with the possibility of execution risk); or the participant(s) can enter the order as a committed order. 3)Procedure for strategies executed via the User Defined Strategy (UDS) Facility An approved participant wishing to execute a cross or a prearranged transaction on a strategy via the UDS facility must enter the order into the trading system for the total intended transaction quantity. The participant must then respect a delay equal to the prescribed time delay before executing an offsetting transaction on the residual quantity. The residual quantity is the portion of the original quantity remaining after orders entered in the book with limit prices better than or equal to the intended transaction price have been filled. If no orders have been executed, the residual quantity is equal to the original intended transaction quantity. Note: The bundling of orders to meet the admissible minimum volume threshold is not permitted. 4) Equity option, ETF option, index option & currency option transactions with a 50% guaranteed minimum Cross Transaction If an approved participant wishes to execute a cross transaction on an option strategy, they must contact a market supervisor and provide details of the intended transaction: total volume, price, side(s) of the transaction on which the approved participant is required to give priority. Prearranged Transaction If approved participants intend to execute a prearranged transaction on an option strategy, each approved participant must contact a market supervisor and provide details of the intended Page 3 of 5

93 transaction: total quantity, price, side(s) of the transaction, and must also identify the approved participant(s) that agreed to submit the opposing order during prenegotiation discussions. Market makers will be permitted to participate on the transaction up to a total maximum of 50% of the volume of the intended transaction. The approved participant will be permitted to execute the transaction for the remaining volume (a minimum of 50% plus any volume not taken of the 50% that had been offered to the market makers.) MISCELLANEOUS Eligible products, their respective minimum volume thresholds and time delays will be modified from time to time in order to take into account the evolution of the trading environment and operational practices of the Bourse. A circular will be issued by the Bourse every time a modification or revision is made to either one of these criteria Page 4 of 5

94 Disclaimer: Bourse de Montréal Inc. has entered into a licence agreement with FTSE to be permitted to use the FTSE Emerging Markets Index that FTSE owns rights in, in connection with the listing, trading and marketing of derivative products linked to the FTSE Emerging Markets Index. The FTSE Emerging Markets Index Futures are not in any way sponsored, endorsed, sold or promoted by FTSE or its licensors and neither FTSE nor any of its licensors: (a) assume any liability or obligations in connection with the trading of any contract based on the FTSE Emerging Markets Index; or (b) accept any responsibility for any losses, expenses or damages arising in connection with the trading of any contract linked to the FTSE Emerging Markets Index. FTSE is a trademark of the London Stock Exchange Group companies. FTSE MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, COMPLETENESS, MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE OR THE RESULTS TO BE OBTAINED BY ANY PERSON OR ANY ENTITY FROM THE USE OF THE FTSE EMERGING MARKETS INDEX, ANY INTRADAY PROXY RELATED THERETO OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE TRADING OF ANY CONTRACTS, OR FOR ANY OTHER USE. Neither FTSE nor its licensors have provided or will provide any financial or investment advice or recommendation in relation to the FTSE emerging Markets Index to Bourse de Montréal Inc. or its clients. The Index is calculated by FTSE or its agent and all rights in the Index vest in FTSE. Neither FTSE nor its licensors shall be (a) liable (whether in negligence or otherwise) to any person for any error in the Index or (b) under any obligation to advise any person of any error therein. Disclaimer: Bourse de Montréal Inc. does not: (a) assume any liability or obligations in connection with the trading of any contract based on the FTSE Emerging Markets Index; or (b) accept any responsibility for any losses, expenses or damages arising in connection with the trading of any contract linked to the FTSE Emerging Markets Index except as provided in Rule 2511 the Bourse de Montréal Inc. Rules. BOURSE DE MONTRÉAL INC. MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, COMPLETENESS, MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE OR THE RESULTS TO BE OBTAINED BY ANY PERSON OR ANY ENTITY FROM THE USE OF THE FTSE EMERGING MARKETS INDEX, ANY INTRADAY PROXY RELATED THERETO OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE TRADING OF ANY CONTRACTS, OR FOR ANY OTHER USE Page 5 of 5

95 PROCEDURES FOR THE EXECUTION AND REPORTING OF EXCHANGE FOR PHYSICAL (EFP), EXCHANGE FOR RISK (EFR) AND SUBSTITUTION OF OTC DERIVATIVE INSTRUMENTS FOR FUTURES CONTRACTS TRANSACTIONS The purpose of the following procedures is to explain as fully as possible: a) the requirements of article 6815 of the Rules of Bourse de Montréal Inc. (the Bourse) relating to the execution of transactions involving the exchange of futures contracts for a corresponding cash position (Exchange for Physical (EFP)) and of transactions involving the exchange of futures contracts for a corresponding over-the-counter derivative instrument (Exchange for Risk (EFR)); and b) of article 6815A of the Rules of the Bourse relating to the execution of transactions involving the substitution of an over-the-counter derivative instrument for futures contracts. Approved participants must ensure that all of their employees who are involved in the execution of this type of transactions are fully aware of these procedures. Any violation of the requirements set forth in articles 6815 and 6815A of the Rules of the Bourse and in these procedures could result in disciplinary action being taken by the Bourse. Exchanges for Physicals (EFP) An EFP is a transaction whereby two parties enter into an agreement in which one party purchases a cash market position and simultaneously sells a corresponding futures contract position and the other party sells the cash market position and simultaneously purchases the corresponding futures contract position. The Bourse permits EFP transactions on the following instruments: Interest rate futures contracts Futures contracts on S&P/TSX indices & on the FTSE Emerging Markets Index Futures contracts on carbon dioxide equivalent (CO 2e) units (MCX) Futures contracts on Canadian crude oil Canadian Share Futures Contracts Exchange for Risk (EFR) An EFR is a transaction whereby two parties enter into an agreement in which one party purchases an over-the-counter derivative instrument and simultaneously sells a corresponding futures contract and the other party sells the over-the-counter derivative instrument and simultaneously purchases the corresponding futures contract. The Bourse permits EFR transactions on the following instruments: Interest rate futures contracts Futures contracts on S&P/TSX indices & on the FTSE Emerging Markets Index Futures contracts on carbon dioxide equivalent (CO 2e) units (MCX) Futures contracts on Canadian crude oil Canadian Share Futures Contracts Page 1 of 8